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Basel vs banks: Big gap in risk estimates 

November 18, 2015

Caroline Binham, The Financial Times

The global body that sets out bank capital rules has estimated that a change in rules over how banks assess risks in their trading operations will result in a weighted aggregate increase of 74 percent in banks' market-risk capital.

The Basel Committee on Banking Supervision on Wednesday published its long-awaited results of an impact study into the so-called Fundamental Review of the Trading Book after sampling 44 banks around the world.

A bank, on average, will have to increase its market-risk capital by 41 percent -- but measured on a median basis it is as low as 18 percent.

These figures are substantially lower than the industry has claimed: banks warned last month that the review would force them to quadruple the amount of capital they hold as a buffer against adverse market moves. They have also claimed that overhauling risk assessment in the way the Basel Committee wants will make financial markets more volatile. Read more

 

 

 
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