Supervisory Framework For The Use Of "BACKTESTING" In Conjunction With The Internal Models Approach To Market Risk Capital Requirements.
This document is a technical note which forms part of a three-part package of documents issued by the Basle Committee to amend the Capital Accord of July 1988 to take account of market risks.
The document presents a methodology for testing the accuracy of the models used by banks to measure their market risks. The essence of the technique is to compare actual trading results with model-generated risk measures. The other two papers in the package are an overview of the market risk amendment and a detailed description of the methodology adopted.
- Publication Date: January 1996
- Publication Type: Standards
- Publication Status: Superseded
- Publication Category: Supervision
- Number of Pages: 15
- Keywords: Market Risk
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