发帖
雷达卡
approach for market risk
New challenges for banks
Preface.................................................................................................................. 5
The revisions to the existing regulatory framework are focusing on
the determination of risk weighted assets............................................................. 8
The FRTB addresses material weaknesses of the current market risk
framework exposed by the financial crisis …........................................................ 9
… and aims to replace the existing regulation and harmonize
the treatment of market risk across national jurisdictions.................................. 10
The FRTB introduces several enhancements to the existing framework
addressing its known issues................................................................................ 12
Revised Market Risk Framework: Models based-approach................................. 13
The new models based approach introduces a new risk measure to
fully capture the risk........................................................................................... 14
The new methodology takes into account the different liquidity horizons
of various instruments........................................................................................ 16
The new calibration rules lead to capital requirements based on the
markets true behaviour in stress situations......................................................... 18
For illiquid risk factors, stress scenarios are used to determine
the capital charge...............................................................................................
4095_RZ_Regulatory_Toolbox_FRTB_IMA_A6_SCREEN_Oktober.pdf
(370.54 KB)
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