BIS consultation of simplified capital requirements for market risk

In order to facilitate the standard Minimum capital requirements for market risk - which was published by the Basel Committee on Banking Supervision In January 2016 – a consultation sets out the Committee's proposal for a simplified alternative to the market risk standardised approach.

Significant simplifications for banks other than those that are large and internationally active relative to the sensitivities-based method (SbM) include

  • removal of capital requirements for vega and curvature risks;
  • simplification of the basis risk calculation;
  • reduction in risk factor granularity and the correlation scenarios to be applied in the associated calculations.

These simplifications would be available only to banks that meet certain qualitative and quantitative criteria. The proposed R-SbM generally would be subject to supervisory approval.

The comments on all aspects of the proposals should be uploaded on Committee’s website by Wednesday 27 September 2017.

More information: BIS