BaFin - Navigation & Service

Erscheinung:21.06.2012 | Reference number BA 55-QIN 5003-2010/0006 Consultation 6/2012 - Fundamental review of the trading book - Standardised approach for market risk - Working paper on the Fuller Risk Factor Approach

On 3 May 2012, the Basel Committee on Banking Supervision published a consultative document on the fundamental review of the trading book. The working paper on the "fuller risk factor" approach provides in particular proposals on how the bank would have to calculate the capital charge when the portfolio includes non-linear instruments such as options. It also outlines how the capital charges for credit risk would have to be determined. Interested parties that would like to provide feedback that relates specifically to this proposal are invited to direct this to the email adress to be found in the working paper by 7 September 2012.

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