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Hull Chapter 13, Basel III - Market Risk

ami44

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Thread starter #1
Hallo,

I just read about the Incremental Risk Charge and Comprehensive Risk Measure in Basel III. Both charges are aimed toward the credit risk in the trading book. It was my impression, that the Specific Risk Charge (SRC) in Basel II covered that risk before. Do I assume correct, that a SRC does not exist anymore under Basel III?

Does a standardized approach for market risk still exist under Basel III?

Does anybody know the answer?
 

ShaktiRathore

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#2
Hi
In regard to mkt risk capital the Basel iii still enforces advanced Var method not standardized method. I think standardized approach is to find credit/operational capital charge. The guidelines for basel 3 is to lay more comprehensive and stringent capital requirements this calls for more stringent method like advanced irb for credit risk . The standardized method used before for credit charge calculation is not that important under basel 3.
Basel 3 enforces more strict guidelines to enforce liquidity requirements and capital charge. The main methods to find capital charge under Basel 2 are same with some additions/ strictions as finding stressed capital charge. Not reading src under basel 3 does not mean this method is completely eliminated,i think it would be still there.
Thanks
 
Last edited:

ami44

Active Member
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Thread starter #3
Shakti,
thank you for your answer.
So I understand you, that the standardized approach for market risk does not exist anymore under Basel III, but the Specific Risk charge might.

Thanks
 
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