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.
- Publication Date: January 1996
- Publication Type: Standards
- Publication Status: Superseded
- Publication Category: Market Risk
- Number of Pages: 11
- Keywords: Market Risk
For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.
The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).