vendredi 6 novembre 2009

L'alourdissement du capital requis pour les Activités de Marché ("Trading Book"):trois fois plus en moyenne





Le Comité de Bâle en charge de la Supervision Bancaire (Bâle 2) a statué définitivement, on le sait, en Octobre, sur le sujet ,sur la base d'une étude "Analysis of the trading book quantitative impact study "October 2009 à laquelle on peut accéder en cliquant ci-après: " results of its recent trading book quantitative impact study, which assesses the impact of the revisions to the 1996 rules governing trading book capital. These revisions, which were originally published by the Committee in January 2009, were subsequently adopted in July 2009.
Excluding the so-called correlation trading portfolio, the study concludes that the changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels, although the Committee noted significant dispersion around this average. Based on the results of the study, the Committee decided to maintain the original calibration as proposed in its January consultative package and as adopted in July 2009" (Communiqué du Comité de Bâle).

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