From Open Risk Manual


BCBS 23 is a document published by the Basel Committee on Banking Supervision on January 1996 in the Market Risk category.


Overview of the amendment to the capital accord to incorporate market risks.


This document is the cover paper for a three-part package issued by the Basel Committee with the approval of the G-10 central-bank Governors. The package sets out details of an amendment to the Basel Capital Accord of July 1988 to take account of market risks. The amendment is to take effect at the latest by end-1997.

The document summarises the Committee's objectives in introducing the amendment and outlines the methodology for the two alternative methods of calculating market risk, the models approach and the standardised approach. It is proceeded by a press release. The other two papers in the package are a detailed description of the methodology adopted and a technical note on the backtesting of models.

Document Profile

  • Publication Date: January 1996
  • Publication Type: Standards
  • Publication Status: Superseded
  • Publication Category: Market Risk
  • Number of Pages: 11
  • Keywords: Market Risk

See Also


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