ACAPM Insights - Market Risk

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In response to the scenarios witnessed on the backdrop of financial crisis, regulators globally have realised the imbalances of capital vis-à-vis the trading book exposures of the banks. This prompted the Basel Committee for Banking Supervision (BCBS) to propose significant revisions to the market risk capital framework, a step-up from the Basel 2.5 reform principles.

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Get a nodal view of Qualitative criteria for Internal Models Approach in Fundamental Review of Trading Book (FRTB).

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The final draft for Fundamental Review of Trading Book (FRTB) framework is expected to be released by end of 2015 to achieve the implementation timelines of early 2018 as envisaged earlier. 

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View a summary of Minimum Capital Requirements for Market Risk (d352).

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