Basel Publishes FAQs on Market Risk

Today, January 26th, the Basel Committee on Banking Supervision (BCBS) published responses to frequently asked questions (FAQs) on the standard Minimum capital requirements for market risk. According to BCBS, "the questions and answers include clarifications both to the standardized approach and the internal models approach."

Specific to securitization, the FAQ addresses credit spread risk on page 4 and internal models approach availability on page 9.

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