바젤Ⅲ 시장리스크 규제하에서의 트레이딩 자산 리스크관리

Abstract

Interdependence in the global financial market makes banks’ financial soundness more essential. In addition, 2008 financial crisis revealed that financial institutions’ risk management was poor, making an updated risk regulation, namely the Basel III regulation. These changes in market risk regulation require banks to develop market risk management system in of step with Basel III standards. In 2019 report, Basel Committee estimated that the market risk charge was increased about 21.7% for the sample banks under Basel III standard. Since the market risk charges of Korean financial institutions can change when Base III market risk regulation introduces, this study investigates the change of market risk charge under the Basel III market risk regulation and explores the implications for the preparation of banks about market risk management system through the case review for a representative Korean bank.