In January 2016, the BCBS published the standard Minimum capital requirements for market risk which was developed to address a number of structural shortcomings in the Basel II market risk framework, and its subsequent revisions. This minimum standard served as a key component of the BCBS's reform of global regulatory standards in response to the global financial crisis.
In this context, following the consultation launched in March 2018, the BCBS has now published a Standard on the minimum capital requirements for market risk which aims at addressing those issues that have been identified in the course of monitoring the implementation and impact of the standard published in 2016. In particular, amendments are introduced to the following aspects: i) scope of application, ii) internal models, iii) standardised approach, and iv) simplified alternative to the standardised approach.
This Technical Note summarises the Standard on the minimum capital requirements for market risk (FRTB final rule).
This BCBS document on the review of the FRTB framework for market risk, includes amendments on the scope of application, internal models, standardised approach, and simplified alternative to the standardised approach.
Scope of application
This document on the FRTB framework introduces the following amendments:
Download the technical note by clicking here (documento disponible en inglés).
Latest technical notes released