The capital ratio is calculated using the definition of regulatory capital and riskweighted assets. The basel committee has finalised its standards pdf 1. Part 2 presents the calculation of the total minimum capital requirements for credit, market and operational risk. Itau unibanco holding 20f annual report filed 20181231. The scope and implementation requirements for general market risk will remain unchanged from the current market risk regime.
International convergence of capital measurement and. The guidelines cover board and senior management, internal control, credit risk, market risk, technology risk, operational risk business continuity management and outsourcing, insurance. Book banking book trading book risk credit risk general irr delta csr1 default risk total 12. The 200708 period of severe market stress exposed weaknesses in the framework for capitalising risks from trading activities.
Basel 3 august 2012 operational risk capital requirement. Internal risk transfers from the trading book to the banking book are not recognised under the framework. For a bank that has approval to model specific risk, the. Basel iv revised trading and banking book boundary for. The committee has also published pdf 607kb a helpful note explaining the gestation of the new market risk framework and the main changes introduced in the final version. Market rsi k refers to the rsi k of losses in the banks tradni g book due to changes in equtiy prci es, interest rates, credti. During the last crisis it turned out that the regulatory capital for market risk was not adequate enough to cover the risk.
507 1243 1586 379 428 2 740 1593 730 1162 1070 955 1035 545 642 241 860 223 816 590 443 617 483 782 166 994 1048 657 1486 527 1045 89 100 852