“The main objective of this exercise was to provide an understanding of the implementation challenges associated with the proposed internal models-based approach, including areas where the draft standards could be made clearer and to provide banks with necessary clarifications.”
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“The analysis was based on a sample of 44 banks that provided usable data for the study and assumed that the proposed market risk framework was fully in force as of 31 December 2014. It shows that the change in market risk capital charges would produce a 4.7% increase in the overall Basel III minimum capital requirement.”
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