The European Banking Authority (EBA) has published a call for advice it has received from the European Commission (the Commission) on revising the own fund requirements for market risk. The call for advice is part of the Commission’s review of the Capital Requirements Regulation (CRR).
The Commission explains that, as part of its review of the CRR, it is considering the impact of implementing the Basel Committee on Banking Supervision’s (the Basel Committee) framework for minimum capital requirements for market risk that were published in January 2016.
Among other things, the Commission has asked the EBA to:
- assess the impact for EU banks of adopting the Basel Committee framework with a particular emphasis on a quantitative assessment; and
- assess whether possible adjustments to the Basel Committee framework might be appropriate, especially adjustments in calibration and in specific treatment for small trading books.
View Commission call for advice on own fund requirements for market risk, 22 April 2016