Basel Committee on Banking Supervision Interpretive Issues with Respect to the Revisions to the Market Risk Framework

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Banking Supervision Dept.
22 February 2012
From Saudi Arabian Monetary Agency
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To All Banks
Attention : Managing Directors, Chief Executive Officers and General Managers Subject Basel Committee on Banking Supervision's Document Entitled "Interpretive Issues with Respect to the Revisions to the Market Risk Framework" The Basel Committee on Banking Supervision (BCBS) has issued a paper entitled "Interpretive Issues with Respect to the Revisions to the Market Risk Framework" in November 2011. This document has provided responses to important interpretive issues concerning past BCBS papers circulated by the Agency to all Banks. These papers include the Revisions to the Basel II Market Risk Framework ("the Revisions) and the Guidelines for Computing Capital for Incremental Risk in the Trading Book ("the /RC Guidelines''). The important interpretive issues raised and clarifications provided in the above document pertains to the following areas:

1. Stressed Value at Risk
2. Incremental Risk Capital
3. Risk Models
4. Standardized Measurement methods
5. Others
   The above document can be accessed from the BIS website (www.bis.org). Banks are advised to review this document and benefit from the interpretations provided therein in implementation of the Basel II Market Risk Framework.
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   Abdulrahman A. Al-Kalaf
   Deputy Governor for Technical Affairs
   P.O. Box 2992 - Riyadh 11169. Saudi Arabia - Tel.: 01-463 3000 - Telex 404390 SJ - Fax 01-466 2119