The amendment to the capital accord to incorporate market risk
DOI:
https://doi.org/10.13133/2037-3643/10615Keywords:
Banking Regulation, Banking law, CapitalAbstract
The Basle Committee on Banking Supervision has effected major changes to its proposals for amendments to the Capital Accord of 1998. These amendments involve the capital adequacy assessment of internationally active banks to take account of market risks and credit risks. They include the abolition of a dual observation period for determining capital charges and flexibility in terms of weighting schemes for the observation period as well as adjustment of banks' value-at-risk measure to arrive at the required 10-day holding period. A survey is undertaken of this new assessment regime.
JEL Codes: G18
References
BASLE COMMITTEE (1995), Proposal to Issue a Supplement to the Basle Capital Accord to Cover Market Risks, a consultative proposal, Basle, April.
BASLE COMMITTEE (1996), Amendment to the Capital Accord to Incorporate Market Risks, Basle, January.
BASLE COMMITTEE (1996), Supervisory Framework for the Use of "Backtesting" in Con-junction with the Internal Models Approach to Market Risk Capital Requirements, Basle, January.
HALL, M.J.B. (1989), "The BIS capital adequacy "rules": a critique", Banca Nazionale del Lavoro Quarterly Review, June, pp. 207-227.
HALL, M.J.B. (1995), "The measurement and assessment of market risk: a comparison of the European Commission and Basle Committee Approaches", Banca Nazionale del Lavoro Quarterly Review, September, pp. 283-330.
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