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The amendment to the capital accord to incorporate market risk

Listed author(s):
  • M.J.B. HALL

    (Loughborough University)

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.

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Article provided by Banca Nazionale del Lavoro in its journal Banca Nazionale del Lavoro Quarterly Review.

Volume (Year): 49 (1996)
Issue (Month): 197 ()
Pages: 271-277

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Handle: RePEc:psl:bnlqrr:1996:26
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