From Open Risk Manual


BCBS 24 is a document published by the Basel Committee on Banking Supervision on January 1996 in the Market Risk category.


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.

Document Profile

  • Publication Date: January 1996
  • Publication Type: Standards
  • Publication Status: Superseded
  • Publication Category: Market Risk
  • Number of Pages: 56
  • Keywords: Market Risk

See Also


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