Basel Committee proposes ways to calculate trading risks

The Basel Committee on Banking Supervision proposed ways to determine trading risks as it strives to keep banks stable in volatile markets. Under regulators' plans, which maintained much of the current CVA structure, the boundary would change between financial institutions' banking and trading books. Also, the model used to measure risks and determine banks' capital requirements would stop using value at risk as a means to measure capital, and instead use expected shortfall.

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Regulators propose shake-up of bank trading books - Reuters · Basel Committee proposes scrapping VAR - Risk.net - Risk.net · Banks face tougher trading capital rules - FT.com - Financial Times

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