June 29, 2017
The Basel Committee on Banking Supervision (BCBS) has published a consultative document on a simplified alternative to the standardised approach to market risk capital requirements. The document sets out a simplified alternative to the sensitivities-based method (SbM). The use of the proposed reduced SbM would be available only to banks that meet certain criteria and subject to supervisory approval.
Further details can be found in the full press release here.
- Outline of AxiomSL’s Market Risk solution