The Basel Committee on Banking Supervision (BCBS) has issued a paper entitled "Interpretive Issues with Respect to the Revisions to the Market Risk Framework" in November 2011. This document has provided responses to important interpretive issues concerning past BCBS papers circulated by the Agency to all Banks. These papers include the Revisions to the Basel II Market Risk Framework ('the Revisions) and the Guidelines for Computing Capital for Incremental Risk in the Trading Book ("the IRC Guidelines").
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The important interpretive issues raised and clarifications provided in the above document pertains to the following areas:
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| | 1. | Stressed Value at Risk |
| | 2. | Incremental Risk Capital |
| | 3. | Risk Models |
| | 4. | Standardized Measurement methods |
| | 5. | Others
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The above document can be accessed from the BIS website (bis.org). Banks are advised to review this document and benefit from the interpretations provided therein in implementation of the Basel II Market Risk Framework.
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