Bank of Russia changes market risk calculation procedure for banks
The key amendments to the draft ordinance include a more precise differentiation between the trading and bank (loan) portfolios, for which banks calculate market and credit risks, respectively. This will exclude excessive requirements for banks’ capital to cover risks of derivatives hedging the bank (loan) portfolio.
Additionally, to prevent risk underestimation, the ordinance will raise the requirements for the quality of derivatives hedging the trading portfolio. There are also other amendments — more information is available in the presentation.
The draft document has been prepared within the Promising Areas of Banking Regulation and Supervision Development. The Bank of Russia welcomes any suggestions and comments through 27 January 2023.
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