Basel II Gap Analysis

Basel Gap Analysis

4 mins read For a Treasury Middle Office gap analysis exercise roadmap is defined by the market risk capital amendments (1996) and the Basel II guidelines that specify a number of qualitative and quantitative criteria required before supervisory approval for an internal model is granted.

Middle Office review: Sample middle office gap analysis report

7 mins read rather than regulatory drivers determining limits and allowable exposures, an internal assessment of the risk reward ratio, capital requirements, strategic direction, income, net asset coverage and market environment should form the basis for the limit setting and review exercise.