IV.2 Riesgo de mercado - Asociación de Supervisores Bancarios de las Américas

Riesgo de tasas de interés en la cartera de inversión

(Anónimo) — Fri, 30 Dec 2016 17:47:32 +0000

El riesgo de tasa de interés en el libro bancario (IRRBB) es parte del marco regulatorio del Pilar 2 de Basilea (Proceso de Revisión Supervisora) y está sujeto a Principios y lineamientos del propio Comité establecidos desde el 2004 en diversa documentación orientada al manejo y supervisión del riesgo de tasas de interés (Principios del IRR). Los Principios del IRR se basan en las expectativas del Comité para que los bancos puedan identificar, medir, monitorear y controlar el IRRBB, así como su supervisión. Sin embargo, el Comité ha decidido que los Principios del IRR necesitaban ser actualizados para reflejar los cambios más recientes en los mercados y en las prácticas de supervisión. Por tanto, este documento contiene una versión actualizada que revisa tanto los Principios mencionados y los métodos que se espera sean utilizados por los bancos para precisamente medir, manejar, monitorear y controlar los riesgos relacionados con tasas de interés.

Treatment of Interest Rate Risk in the Banking Book in LA

(Anónimo) — Fri, 30 Dec 2016 16:07:28 +0000

El riesgo de tasa de interés en el libro bancario (conocido como IRRBB) es la exposición de un banco a movimientos adversos en las tasas de interés y el riesgo asociado a su capital y ganancias. Fluctuaciones en las tasas de interés afectan la temporalidad y el valor presente de los flujos de efectivo futuros. Como consecuencia, el valor económico de los activos y pasivos del banco cambia. Este riesgo es inherente al negocio bancario. Sin embargo, altos niveles de exposición a IRRBB pueden representar una amenaza significativa para la viabilidad de una institución bancaria. Es por lo tanto importante establecer evaluaciones supervisoras minuciosas y, potencialmente, requerimientos de capital para este tipo de riesgo.
(Texto en inglés)

Part 3: The Second Pillar – Supervisory Review Process

(Anónimo) — Thu, 19 Nov 2015 11:21:11 +0000

This section discusses the key principles of supervisory review, risk management guidance and supervisory transparency and accountability produced by the Committee with respect to banking risks, including guidance relating to, among other things, the treatment of interest rate risk in the banking book, credit risk (stress testing, definition of default, residual risk, and credit concentration risk), operational risk, enhanced cross-border communication and cooperation, and securitisation.
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Criteria for Identifying Simple, Transparent & Comparable Securitizations

(Anónimo) — Tue, 30 Jun 2015 09:26:49 +0000

The Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) have issued today final criteria for identifying simple, transparent and comparable securitisations. The purpose of these criteria is not to serve as a substitute for investors’ due diligence but rather to identify and assist in the financial industry’s development of simple and transparent securitisation structures. These criteria apply only to term securitisations and are non-exhaustive and non-binding. Additional and/or more detailed criteria may be necessary based on specific needs and applications. The criteria are not, of themselves, a prescription for regulatory action.
(Texto en inglés)

Margin Requirements for Non-Centrally Cleared Derivatives

(Anónimo) — Fri, 27 Feb 2015 14:32:26 +0000

This document presents the final policy framework that establishes minimum standards for margin requirements for non-centrally cleared derivatives as agreed by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO).1 This final framework was developed in consultation with the Committee on Payment and Settlement Systems (CPSS) and the Committee on the Global Financial System (CGFS).
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Revisions to the Securitization Framework

(Anónimo) — Wed, 10 Dec 2014 04:42:50 +0000

The Basel Committee is publishing the revised securitisation framework, which aims to address a number of shortcomings in the Basel II securitisation framework and to strengthen the capital standards for securitisation exposures held in the banking book.1 This framework, which will come into effect in January 2018, forms part of the Committee’s broader Basel III agenda to reform regulatory standards for banks in response to the global financial crisis and thus contributes to a more resilient banking sector.
(Texto en inglés)

Principles for the Management and Supervision of Interest Rate Risk

(Anónimo) — Sun, 29 Jun 2014 21:38:29 +0000

As part of its ongoing efforts to address international bank supervisory issues, the Basel Committee on Banking Supervision (the Committee) issued a paper on principles for the management of interest rate risk in September 1997. In developing these principles, the Committee drew on supervisory guidance in member countries, on the comments of the banking industry on the Committee's earlier paper, issued for consultation in April 1993, and on comments received on the draft paper issued for consultation. In addition, the paper incorporated many of the principles contained in the guidance issued by the Committee for derivatives activities, which are reflected in the qualitative parameters for model users in the capital standards for market risk (Market Risk Amendment).
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Revisions to the Basel II Market Risk Framework

(Anónimo) — Sun, 30 Jan 2011 07:41:39 +0000

Updated as of 31 December 2010 to reflect the adjustments to the Basel II market risk framework announced by the Basel Committee in its 18 June 2010 press release and the stress testing guidance for the correlation trading portfolio referred to in paragraph 9 of the July 2009 version of this document. Changes introduced by the Basel III framework are not yet reflected in the text.
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Guidelines for Computing Capital for Incremental Risk in the Trading Book

(Anónimo) — Tue, 30 Jun 2009 09:30:57 +0000

The Basel Committee/IOSCO Agreement reached in July 2005, contained several improvements to the capital regime for trading book positions. Among these revisions was a new requirement for banks that model specific risk to measure and hold capital against default risk that is incremental to any default risk captured in the bank’s value-at-risk (VaR) model. The incremental default risk charge was incorporated into the trading book capital regime in response to the increasing amount of exposure in banks’ trading books to creditrisk related and often illiquid products whose risk is not reflected in VaR. In October 2007, the Basel Committee on Banking Supervision (the Committee) released guidelines for computing capital for incremental default risk for public comments. At its meeting in March 2008, it reviewed comments received and decided to expand the scope of the capital charge.
(Texto en inglés)

Revisions to the Basel II Market Risk Framework

(Anónimo) — Mon, 29 Jun 2009 21:40:03 +0000

Since the financial crisis began in mid-2007, an important source of losses and of the build up of leverage occurred in the trading book. A main contributing factor was that the current capital framework for market risk, based on the 1996 Amendment to the Capital Accord to incorporate market risks, does not capture some key risks. In response, the Basel Committee on Banking Supervision (the Committee) supplements the current value-at-riskbased trading book framework with an incremental risk capital charge, which includes default risk as well as migration risk, for unsecuritised credit products.
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Enhancements to the Basel II Framework

(Anónimo) — Mon, 29 Jun 2009 21:28:18 +0000

The proposals for enhancing the Basel II framework in the area of securitisation and more specifically for dealing with resecuritisations have been finalised. Banks are expected to comply with the revised requirements by 31 December 2010. These enhancements are intended to strengthen the framework and respond to lessons learned from the financial crisis. The following is a summary of the changes that the Committee is making to Pillar 1.
(Texto en inglés)

Amendment to the Capital Accord to Incorporate Market Risk

(Anónimo) — Sat, 29 Oct 2005 13:19:49 +0000

As from the end of 1997, or earlier if their supervisory authority so prescribes, banks will be required to measure and apply capital charges in respect of their market risks in addition to their credit risks. Market risk is defined as the risk of losses in on and off-balancesheet positions arising from movements in market prices. (Texto en inglés)