Abstract
In responding to the global financial crisis, regulators and industry observers particularly noted that several banks posted losses in their trading books that were considerably greater than their own estimates computed using standard VaR methodology. Some of these losses exceeded those regulatory capital requirements for market risk. In the Basel III framework, the Basel Committee on Banking Supervision responded by proposing to increase the capital requirements for market risk for banks that model specific risk in the trading book through an additional capital requirement based on a stressed market risk VaR estimate complemented by an Incremental Risk Capital (IRC) charge.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
