Basel Committee drops fixed correlations in new trading book proposals


The Basel Committee on Banking Supervision has dropped plans to work out trading book capital requirements using regulator-set correlations – a step that is already being welcomed by some bank capital and modelling experts. The u-turn appears in revised proposals for the committee's Fundamental review of the trading book, which was published on October 31.

The idea of using fixed correlations to aggregate modelled, desk-level capital numbers was one of the most controversial elements of the

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: