Abstract: The New Basel III Market Risk Standard has made revolutionary revisions to the measurement logic of market risk capital. In order to understand its impact on commercial banks, its measurement logic and challenges are mainly analyzed. Based on assumed investment portfolios, calculation comparing the new and old standards is conducted. It is concluded that the implementation of the new market risk standard will significantly increase the level of market risk capital provision for commercial banks. It also makes higher requirements for market risk identification, measurement, systems, and limits management. It is recommended that relevant banks expedite business restructuring in line with the capital provisioning requirements of the new market risk standard. This may include, but is not limited to, appropriately increasing the proportion of interest rate bond investment in trading books, reducing the proportion of high-risk weighted bonds in credit bonds, and controlling the scale of unilateral traded options and unilateral precious metal trading businesses. These actions will promote the improvement of capital utilization efficiency. Meanwhile, it is suggested that commercial banks take the implementation of the New Basel III as an opportunity to comprehensively enhance their market risk measurement and management capabilities, laying a foundation for the development of market risk business.

Key words: Basel III, market risk standard, market risk management