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Current Event: ECB temporarily allows lower capital requirements for market risk


Active Member
Since one of the capital requirements is proportional to volatillity the ECB has lowered the multiplier to offset the higher volatility.

Seems like a bad idea to me. Markets are all over the place, the higher capital requirements seem justified.

But their game, their dice, their rules.


....The ECB is temporarily reducing a supervisory measure for banks – the qualitative market risk multiplier – which is set by supervisors and is used to compensate for the possible underestimation by banks of their capital requirements for market risk....