The measurement and assessment of market risk: a comparison of the European Commission and Basle Committee approaches


  • M.J.B. HALL



Bank regulation, risk, European Commission, Basle Committee


Since its initiation in July 1988 of the agreement on international bank capital adequacy, the Basle Committee of Supervisors has been working on ways to extend it to cover banks' market risks. There has been a dramatic growth in the volume of these risks during recent years. The European Commission approach to this area is compared with the latest (April 1993) Basle Committee proposals.


JEL Codes: G28, G32


BASLE COMMITTEE (1993), The Supervisory Treatment of Market Risks: A Consultative Proposal, Basle, April.

BASLE COMMITTEE (1993), The Supervisory Recognition of Netting for Capital Adequacy Purposes: A Consultative Proposal, Basle, April.

BASLE COMMITTEE (1993), Measurement of Banks' Exposure to Interest Rate Risk: A Consultative Proposal, Basle, April.

BASLE COMMITTEE (1995), Proposal to Issue a Supplement to the Basle Capital Accord to Cover Market Risks, a consultative proposal, Basle, April.

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EC (1992), Monitoring and Control of Large Exposures of Credit Institutions ("Large Exposures Directive"), Council Directive 92/121/EEC, December.

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HALL, M.J.B. (1994), "The measurement and assessment of capital adequacy for banks: a critique of the G10 Agreement", in Stone, C.A. and Zissu, A. eds., Global Risk Based Capital Regulations, vol. 1 ("Capital Adequacy"), ch. 11, pp. 270-286, Irwin Publishers, Illinois.

PRICE WATERHOUSE (1993), The Regulation of Market Risk: The Impact of the European Community's Capital Adequacy Directive and the Basle Proposals, London, December.




How to Cite

HALL, M. (2013). The measurement and assessment of market risk: a comparison of the European Commission and Basle Committee approaches. PSL Quarterly Review, 48(194).