Amendment to the Capital Accord to incorporate market risks.
This document is the main section 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 provides a detailed account of the methodology laid down by the Basle Committee to set capital requirements for market risks. It describes two alternative approaches to the measurement of market risk, a standardised method and an internal models approach, closing with a number of worked examples. The other papers in the package are an overview of the market risk amendment and a technical paper on the backtesting of models.
- Publication Date: January 1996
- Publication Type: Standards
- Publication Status: Superseded
- Publication Category: Market Risk
- Number of Pages: 56
- Keywords: Market Risk
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