Event Information & Speakers

Round Table Discussion

Brief information on the topic of discussion:

The Basel Committee on Banking Supervision published on June 29, 2017, to discuss and collect comments from a professional community consultative document "Simplified alternative to the standardized approach to market risk capital requirements." (http://www.bis.org/bcbs/publ/d408.htm)

This approach was proposed by the Basel Committee on Market Risk working group as an alternative to the "complete" standardized approach to market risk assessment set out in the Basel Standard Minimum Capital Requirements for Market Risk of January 2016. (http://www.bis.org/bcbs/publ/d352.htm). The simplified approach is primarily aimed at those countries where banks do not have large trading portfolios, do not accept complex market risks and do not have the information and technology tools to apply the new standardized approach.

The proposed simplified standardized approach contains a number of simplifications in comparison with the full version of this approach, which do not change
the logic of calculating market risk through an assessment of the sensitivity of the value of financial instruments to changes in a given set of market risk factors and their two-stage aggregation, taking into account the correlations. It is expected that this approach will be available to banks, subject to certain qualitative and quantitative criteria, also set out in the advisory document.

In the opinion of representatives of a number of states, including the European Union, this approach, in spite of all the simplifications contained in it, still remains too complicated for implementation in most small banks, for which it would be optimal to maintain the current standardized approach, perhaps with its recalibration to eliminate arbitrage opportunities with a new standardized approach. It seems that this alternative is also very relevant for Russian banks.