The Basel Committee on Banking Supervision (BCBS) has issued its second report on the regulatory consistency of risk-weighted assets (RWAs) for market risk in the trading book.
The report follows up on an initial study that the BCBS conducted earlier this year but extended the analysis to more representative and complex trading positions. Consistent with the findings in the initial study, the report notes a significant variation in the outputs of market risk internal models used to calculate regulatory capital. In addition, variability typically increases for more complex trading positions.
View Regulatory consistency assessment programme (RCAP) – second report on risk-weighted assets for market risk in the trading book, 17 December 2013
View Second report on the regulatory consistency of risk-weighted assets in the trading book issued by the Basel Committee, 17 December 2013