An internal model-based approach to market risk capital requirement.
In April 1993 the Basle Committee on Banking Supervision issued for comment by banks and financial market participants a paper entitled "The supervisory treatment of market risks". That paper set out a framework for applying capital charges to the market risks incurred by banks, defined as the risk of losses in on- and off-balance-sheet positions arising from movements in market prices. The Committee has now concluded its review of the comments received and is issuing a revised package of proposals. This paper, which forms a part of that package, provides a commentary on Part B of the accompanying planned Supplement to the Capital Accord.
- Publication Date: April 1995
- Publication Type: Consultative
- Publication Status: Closed
- Publication Category: Bank Capital
- Number of Pages: 21
- Keywords: Market Risk
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