Stellungnahme ZKA zu "Revisions to the Basel II market risk framework" (CP 148) und "Guidelines for computing capital for incremental risk in the trading book" (CP 149)

13. März 2009

Against the background of financial turmoil we can in principle understand the efforts of the supervisory authorities to increase capital adequacy requirements in order to cover market risks and additional risks in the trading book. However, in future the capital adequacy requirements should also match the risks estimated by the institutions. The banking industry has already undertaken extensive efforts in large parts of internal risk management to deal appropriately with the causes and effects of the financial market crisis. We are of the opinion that adjustments tailored to the situation of an institution offer significant advantages over a blanket increase in capital requirements ordered by a supervisory authority.

Furthermore, coordination between the models used internally by the banks and the supervisory requirements (use test) must be ensured. Particularly in the area of measurement of incremental risks, for which no market standards have existed up to now, the (ongoing) development of models must not be restricted by rigid supervisory regulations. Institutions implement risk models primarily because these are more flexible and more appropriately adapted to their individual risk situation and portfolio composition. With rigid regulatory model specifications which are designed in a predominantly conservative manner, the advantage of an internal model is vitiated. The incentive for risk management based on an institution-specific model is thus significantly reduced. In this context, we continue to doubt whether it is possible to meet the use test requirements on the basis of the specifications of the third consultation paper.

Impact studies of the banking industry show that the proposed supervisory specifications for modelling incremental risks as well as the implementation of stressed-VaR result in an enormous increase in the capital requirements for the trading book regardless of the portfolio. This multiplication of the capital requirements has side effects. In our opinion, the capital-based incentive for the transition from the standardised approach for market risk to the internal modelsbased approach vanishes due to the increasing capital requirements for the latter method. This represents a negative incentive for the further internal development and supervisory use of risk models. […]

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