Bankowość · 7.03.1996

Risk-Based Capital Standards; Market Risk; Internal Models Backtesting

The Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) (Agencies) are proposing to amend their July 25, 1995, proposal to incorporate a measure for market risk into their respective risk-based capital standards. The proposed amendment would provide additional guidance to an institution about how the multiplication factor used to calculate capital requirements for market risk under the internal models approach would be adjusted if comparisons of its internal model's previous estimates with actual trading results indicate that the internal model is inaccurate. The proposed amendment would increase the market risk capital charge for an institution with an inaccurate model.