From Open Risk Manual


BCBS 22 is a document published by the Basel Committee on Banking Supervision on January 1996 in the Supervision category.


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.

Document Profile

  • Publication Date: January 1996
  • Publication Type: Standards
  • Publication Status: Superseded
  • Publication Category: Supervision
  • Number of Pages: 15
  • Keywords: Market Risk

See Also


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