News Release 1995-73 | July 13, 1995
Remarks by Eugene Ludwig Before the OCC Conference on Foreign Banks in the US
Note to Editors
In the attached introductory remarks before the OCC Conference on Foreign Banks in the United States, Comptroller of the currency Eugene A. Ludwig announces that federal bank regulators will publish in the Federal Register a proposed rule on capital requirements for market risks in a bank's trading account.
The proposal would establish two alternative ways to measure market risk — a bank's own internal value-at-risk model, and a "standardized" model designed by the Basle Committee of bank supervisors.
"The proposal we are publishing reflects supervisors' efforts to balance the need to minimize regulatory burden against the need to measure and protect against market risk," Mr. Ludwig says. "We are interested in hearing whether the standardized model provides an accurate and effective measure of market risk. We are particularly interested in comments from bankers on whether we have set appropriate parameters for qualifying internal models."
Mr. Ludwig says the Comptroller's Office is currently in 20 national banks gathering information on their internal models and their ability to meet the requirements of the internal model alternative.
The federal regulators are specifically seeking comment on how results of the standardized model compare with banks' own internal models, whether the proposal sets appropriate parameters for qualifying internal bank models, and whether those parameters would result in capital requirements that are significantly higher than those of the standard model.