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The amendment to the capital accord to incorporate market risk

Author

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  • M.J.B. HALL

    (Loughborough University)

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:psl:bnlqrr:1996:26
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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/10615/10499
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    References listed on IDEAS

    as
    1. 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.
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    More about this item

    Keywords

    Banking Regulation; Banking law; Capital;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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