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