Trading book proposals published by Basel Committee

Yesterday, the Basel Committee on Banking Supervision issued a paper outlining proposed capital requirements for banks’ exposures to certain trading-related activities—also known as the Trading Book Project. .

The new paper—which is in effect an addendum to the Basel II framework published last summer—includes a treatment for counterparty credit risk. The paper also contains a solution for double default effects, or the risk that both a borrower and guarantor default on the same obligation

The paper, "The application of Basel II to trading activities and the treatment of double default effects," was prepared jointly by the Basel Committee and the International Organization of Securities

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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