Revisions to the Basel II Market Risk Framework

Since the financial crisis began in mid-2007, an important source of losses and of the build up of leverage occurred in the trading book. A main contributing factor was that the current capital framework for market risk, based on the 1996 Amendment to the Capital Accord to incorporate market risks, does not capture some key risks. In response, the Basel Committee on Banking Supervision (the Committee) supplements the current value-at-riskbased trading book framework with an incremental risk capital charge, which includes default risk as well as migration risk, for unsecuritised credit products.
(Texto en inglés)