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Time to think strategically about Basel capital calculations 

December 4, 2015

Nicola Hortin, Banking Technology

As part of the ongoing Basel reforms, the Bank for International Settlements is busy rewriting the rules that govern how much capital banks must maintain in order to mitigate different types of risk. So far the Standardized Approach for Measuring Counterparty Credit Risk Exposures and the Fundamental Review of the Trading Book have garnered the most attention. However, these are just two components of a much larger package of changes to the Basel capital requirements, which banks need to think about holistically and start factoring into their technology programs now, writes Nicola Hortin

The reforms to the counterparty credit risk and market risk capital calculations that are being introduced by SA-CCR and the FRTB respectively will be accompanied by changes to the way banks calculate how much capital they must hold as a result of their exposures to central counterparties (CCPs), operational risk and credit risk due to securitizations. There will also be a new framework for measuring and controlling large exposures, and changes to the risk weights in the standardized approach to credit risk capital calculations. In fact, almost all of the existing Basel calculations will be affected in some way. Read more

 
 
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