Bankowość · 7/25/1995

Risk-Based Capital Standards: Market Risk

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) (the Agencies) are proposing to amend their risk-based capital requirements to incorporate a measure for market risk in foreign exchange and commodity activities and in the trading of debt and equity instruments. Under the proposal, banks and bank holding companies (institutions) regulated by the OCC, the Board, and the FDIC with relatively large trading activities would calculate their capital charges for market risk using either their own internal value-at-risk model(s) or, alternatively, risk measurement techniques that were developed by supervisors. The effect of the proposed market risk measure would be that, in addition to existing capital requirements for credit risk, certain institutions would be required to hold capital based on the measure of their market risk exposure.