
APRA outlines Basel II market risk proposals
Daily news headlines
The Australian Prudential Regulation Authority (APRA) has released its proposed approach to the treatment of market risk under Basel II.
APRA has released a discussion paper, draft prudential standard and a prudential practice guide that set out proposed refinements to APRA’s current approach to market risk for authorised deposit-taking institutions (ADI).The proposed approach is designed to better align ADI market risk capital requirements with Basel II, but preserves APRA’s requirement that ADIs have in place a framework to measure, manage, and monitor market risk commensurate with the nature, scale and complexity of their operations.
As is currently the case, under the proposed rule an ADI must use the standard method of market risk measurement or obtain APRA’s approval to use its own risk measurement model. APRA also requires an ADI using the advanced approaches to measuring credit risk and operational risk to hold regulatory capital against its interest rate risk in the banking book.
The refinements were guided by the need to bring existing capital requirements into line with the market risk principles in the Basel framework and to ensure consistency with the revisions for credit risk under Basel II, according to APRA chairman John Laker.
“These amendments recognise the rapid expansion in the range and volume of instruments traded and potential changes in ADIs’ market risk profiles on their trading and non-trading books.”
The suite of Basel II prudential standards for credit, market and operational risk is expected to be finalised in the second half of 2007, with Basel II set to come into force in Australia on January 1 2008.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Risk Awards 2023: The winners
BNP Paribas takes top derivatives prize, lifetime award for Stephen Kealhofer, Nomura wins rates
Markets Technology Awards 2023: This year’s model
Vendors are offering greater modelling flexibility. What if that’s not enough?
Op risk data: Wells Fargo walloped to the tune of $1.7bn
Also: AML breaches at Danske and Santander; Russia’s Radiotechbank scammed. Data by ORX News
Court allows lawsuit against Credit Suisse to proceed
Shareholder alleges board and senior execs breached fiduciary duties by failing to oversee risk
NSCC and OCC to enhance co-operation on large cash calls
New deal would improve management of options expiries, but will stop short of cross-margining
Capitolis registers swap dealer in strategy refresh
Vendor’s SBSD registration may facilitate unique multi-seller platform for equity swap business
LME model quirk saved members $915m nickel margin
Report on March 2022 blow-up says CCP may need to “intervene” on deduction of VM gains from IM
Financial firms rethink after cyber insurance premium spike
Brokers say there are signs pressure is easing, but quantum hacking threat could transform market