Regulatory Alerts2016-01-19
Added · Updated
Revised Framework for Market Risk Capital Requirements
The Hong Kong Monetary Authority issued this letter to inform locally incorporated authorized institutions of the Basel Committee on Banking Supervision's final standards for market risk capital requirements. The revised framework introduces a stricter boundary between trading and banking books, replaces value-at-risk with expected shortfall for internal models, and enhances the standardised approach to better capture tail and illiquidity risks. The HKMA intends to implement these changes by the 2019 deadline and strongly recommends that institutions begin preparing for the significant operational and capital implications in advance of formal consultations.
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