Basel 3’s capital requirements for market risk

Basel_-_Bank_für_internationalen_Zahlungsausgleich1The 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

Basel 3’s new market risk framework and leverage ratio requirements endorsed


The Basel Committee’s governing body has endorsed Basel 3’s new market risk framework and leverage ratio requirements.

“Notable improvements in the new risk framework, which takes effect in 2019, include:

– A revised boundary between the banking and trading books that will reduce scope for arbitrage;

– A revised internal models approach with more coherent and comprehensive risk capture;

– An enhanced model approval process and more prudent recognition of hedging and portfolio diversification; and

– A revised standardised approach that serves as a credible fall-back and floor to the model-based approach, and facilitates more consistent and comparable reporting of market risk across banks and jurisdictions.


The [Group of Central Bank Governors and Heads of Supervision (GHOS)] also discussed the final design and calibration of the leverage ratio. Members agreed that the leverage ratio should be based on a Tier 1 definition of capital and should comprise a minimum level of 3%, and they discussed additional requirements for global systemically important banks.”

Read the full press release here.