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Capital requirements under the fundamental review of the trading book
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After the subprime crisis it became clear that a stronger regulatory framework was crucial to ensure a healthy banking system. Changes in banks’ capital regulation and banking supervision standards have been the main focus of the policy discussions. The Fundamental Review of the Trading Book overhauls the market risk capital requirements, it aims to address shortcomings of the current Basel II.5 market risk capital framework and to increase the comparison of market risk weighted assets across banks in different jurisdictions. This dissertation seeks to assess the impact of the revised framework in the banking industry.
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Market risk Basel committee on banking supervision Fundamental review of the trading book, Bank for international settlements