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

Author

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  • M.J.B. HALL

    (Loughborough University)

Abstract

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.

Suggested Citation

  • M.J.B. Hall, 1995. "The measurement and assessment of market risk: a comparison of the European Commission and Basle Committee approaches," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 48(194), pages 283-330.
    • Handle: RePEc:psl:bnlaqr:1995:33
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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/10495/10382
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    Cited by:

    1. P.J.G. Vlaar, 1996. "Methods to determine capital requirements for options," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(198), pages 351-373.
    2. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.

    More about this item

    Keywords

    Bank regulation; risk; European Commission; Basle Committee;
    All these keywords.

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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