The Basel Committee on Banking Supervision has issued the revised minimum capital requirements for market risk, a major component of the Basel 3 capital standards.
“The key features of the revised framework include:
– A revised boundary between the trading book and banking book;
– A revised internal models approach for market risk;
– A revised standardised approach for market risk;
– A shift from value-at-risk to an expected shortfall measure of risk under stress; and
– Incorporation of the risk of market illiquidity.”
Read the full text at http://goo.gl/SJBhPz