Wary of the IRC

The Basel Committee released revised proposals on charging capital for incremental risk in the trading book in July. The new rules encompass a broader range of risks beyond default - in particular, credit rating migration, spread widening and equity prices. However, there are worries the revisions may close off vast swaths of business. John Ferry reports

risk-080901-12-gif

The Basel II framework has some gaping holes, and the credit crisis has drummed that fact home. Risk managers horribly underestimated default, correlation and liquidity risks, while it became apparent the current value-at-risk based measure for assessing capital for the trading book did not capture all risks associated with complex securitised products.

The political pressure for regulatory reform after the financial turmoil began was intense, which meant the Basel Committee on Banking

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here