Proposal to issue a supplement to the Basel Capital Accord to cover market risk.
As from the end of 1997, or earlier if their supervisors so prescribed, banks were required to measure and apply capital charges in respect of their market risks in addition to their credit risks. This proposed supplement to the Basel Capital Accord outlined the possible requirements in the application of market risks. In addition, it permitted banks to use their internal models for calculating capital requirements, subject to the fulfillment of certain minimum standards
This document was superceded by the "Overview of the amendment of the capital accord to incorporate market risks" January 1996.
- Publication Date: April 1995
- Publication Type: Consultative
- Publication Status: Closed
- Publication Category: Market Risk
- Number of Pages: 55
- Keywords: Capital Accord, Market Risk
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