The Bank for International Settlements (BIS) has published a consultation paper entitled "Proposed revisions to the Basel II market risk framework". The aim of the Consultation Paper is to expand the scope of the incremental risk charge (IRC) that banks are required to calculate. BIS is proposing to expand the scope of the IRC to catch not only defaults, but also other sources of price risk that have materialised during the market turmoil, thereby improving banks' internal models for market risk. The Consultation Paper is intended to address a number of perceived shortcomings in the current Basel II framework. Comments are invited by 15 October 2008.
View Proposed revisions to the Basel II market risk framework, 22 July 2008