Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
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Revised <strong>Market</strong> <strong>Risk</strong> Measure for Capital<br />
Calculation<br />
Revised MRR: risk-based capital requirements for <strong>Market</strong><br />
<strong>Risk</strong> is def<strong>in</strong>ed as the sum of:<br />
- VaR-based capital requirement<br />
- Stressed VaR-based capital requirement<br />
- Specific risk add-ons<br />
- Incremental risk capital requirement<br />
- Comprehensive risk capital requirement<br />
- Capital requirements for de m<strong>in</strong>imis exposures<br />
Stressed VaR: 10-day, 99% percentile, use historical data<br />
from a cont<strong>in</strong>uous 12 month stress period<br />
Stronger Backtest<strong>in</strong>g: P&L, emphasis on sub-portfolios<br />
<strong>Advanced</strong> Concepts <strong>in</strong> Captur<strong>in</strong>g <strong>Market</strong> <strong>Risk</strong>: A Supervisory Perspective, Chicago, IL, March 14, 2011<br />
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