A Regulatory Algorithm for Determining Capital Requirements as a Stressed Value-at-Risk
30 Sep 2011
Source: Federal Financial Supervisory Authority (BaFin)
The Federal Financial Supervisory Authority (BaFin) of Germany has released a consultative document on the proposal for a regulatory algorithm to determine capital requirements as a stressed value-at-risk; the proposal combines the concept of stressed value-at-risk with historical simulation. The capital charge is determined as the loss over a number of combined “bad” episodes using exact revaluation. This review is intended to address shortcomings of the standardised measurement methods for market risk, in line with the BCBS’s call for a fundamental review of trading activities.
Deadline: 30 September 2011
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