The Basel Committee proposes to supplement the current value-at-risk (VaR) regulatory capital framework for trading … major banking organisations have experienced large losses resulting from trading exposures. The IRC proposal follows the … capital regime for trading book positions. The IRC would represent an estimate of the default and migration risks of …

capital requirements for the trading book. The paper comprises a detailed set of proposals for a comprehensive revision of the … trading book capital requirements. These initial proposals reflected the Committee's overall objective of designing a new …

regulatory framework for the trading book. This project was carried out in the first half of 2010 acting upon a request from the … Trading Book Group to the Research Task Force of the Basel Committee on Banking Supervision. This report reflects the views of …