Tài liệu Revisions to the Basel II market risk framework

Basel Committee
on Banking Supervision


Consultative document


Revisions to the Basel II market risk framework


Issued for comment by 13 March 2009


January 2009
Contents


I. Background and objectives .1


II. Implementation date 3


III. Changes to the standardised measurement method for market risk .3


IV. Changes to the internal models approach to market risk 6


V. Changes to the supervisory review process for market risk 19


VI. Changes to the disclosure requirements for market risk .20


VII. Treatment for illiquid positions .21


Revisions to the Basel II market risk framework i