Senior Deputy Comptroller for Bank Supervision Policy. Browse the press releases, speeches, interviews, reports and publications related to banking supervision and filter them by date, speaker or activity. Learn more about how we use cookies, We are always working to improve this website for our users. identifying comparable assets (the peer group) and obtaining market values for these assets. Traditionally, trading book portfolios consisted of liquid positions easy to … Please contact Margot Schwadron, Director, and Guowei Zhang, Risk Expert, Capital Policy Division, at (202) 649-6370. The cost of equity capital, as determined by the CAPM method, is equal to the risk-free rate plus the market risk premium multiplied by the beta value of the stock in question. Find out about the new system of European banking supervision and get an overview of its main aims and features. The ECB has taken this measure in response to the high levels of volatility recorded in financial markets since the outbreak of COVID-19. The Committee has devoted a considerable amount of time and effort in studying the models used by banks and the measures of risk that they produce. For Internal Models Approach (IMA) banks, the market risk capital charge is the maximum of (i) quarter-end figures; and (ii) average figures of the last 60 days, with the multiplier applicable to those banks. Check under data for downloads and links, as well as archived data from prior years. Navigation Path: Home›Media & Publications›Press releases›16 April 2020. Tools: Check under tools for additions to spreadsheets and webcast. Grovetta N. Gardineer Concern about the impact of the Coronavirus Disease 2019 (COVID-19) has led to a sudden and significant repricing of global financial markets and an increase in market volatility and deterioration in market liquidity. Access legal documents related to European banking supervision, including ECB supervisory decisions, and a compendium of relevant EU and international laws. The European Central Bank (ECB) announced a temporary (six-month) reduction in capital requirements for market risk, by allowing banks to adjust the supervisory component of these requirements, the qualitative market risk multiplier. The European Central Bank (ECB) today announced a temporary reduction in capital requirements for market risk, by allowing banks to adjust the supervisory component of these requirements. The market risk capital rule is used by banking organizations with significant trading activities to calculate regulatory capital requirements for market risk. The purpose of this paper is to explain some of the thinking behind those criteria. Please note that related topic tags are currently available for selected content only. Title: 2Q 13 Basel 2.5 Pillar 3 Market Risk Created Date: 20130861618 Discover how banking supervision works, which banks are supervised and what supervisory measures the ECB can take. the scope of their market risk capital rules. The BCBS began work on significant changes to the market risk framework in The longer you live, the more chances you’ll experience major financial risks: market corrections, costly declining health, rising taxes and inflation. The Office of the Comptroller of the Currency (OCC) and the Board of Governors of the Federal Reserve System (collectively, the agencies) today issued a response to a public question about a capital implication under the market risk capital rule in light of current market conditions. With a x500 multiplier , if the market goes down 2%, you'll lose only $100 .