Template-Type: ReDIF-Article 1.0
Author-Name: Gyöngyi Bugár
Author-Name: Anita Ratting
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: bugar@ktk.pte.hu
Author-Email: rattinga@ktk.pte.hu
Title: Revision of the quantification of market risk
in the Basel III regulatory framework
Abstract: The purpose of our study is to provide an overview of the revisions made to the
Basel III regulatory framework in the aftermath of the 2007 crisis, with regard
to measuring the risk associated with positions included in the trading book. The
calculation of the regulatory capital requirement (i.e. the capital to be earmarked
for covering the losses of trading book portfolios exposed to market risk) is based
on the value-at-risk (VaR) to date. The literature pointed out the weaknesses of
VaR as early as the turn of the millennium, and the financial crisis of 2007 only
confirmed the inadequacy of the previous system. Nevertheless, moving the Basel
regulatory framework to a new system of risk measurement was only put on the
agenda after a significant delay. Formulating the details of the changes affecting
the trading book has gained momentum in recent months, resulting in a series of
consultative documents, issued by the Committee, which constitute the foundation
for the impending new recommendations.
Classification-JEL: D81, G21, G28
Keywords: market risk, Basel regulatory framework, Value-at- Risk (VaR), expected
shortfall (ES)
Journal: Financial and Economic Review  
Pages: 33–50
Volume: 15
Issue: 1
Year: 2016
File-URL: http://english.hitelintezetiszemle.hu/letoltes/2-bugar-ratting-1.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:15:y:2016:i:1:p:33-50