The amendment to the capital accord to incorporate market risk

Maximilian J.B. Hall

283 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Risk Management in Financial Firms

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. JEL Codes: G18

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 283 citations exist upstream.

Cited by

1996The theory and practice of financial stability 2016Model risk of risk models 2008Developing a stress testing framework based on market risk models 2008Robust optimization of conditional value at risk and portfolio selection 2004Optimal portfolio selection and dynamic benchmark tracking 2001An analytic approach to credit risk of large corporate bond and loan portfolios 2012Fat tails, VaR and subadditivity 2009Procyclical Leverage and Endogenous Risk

Imported from OpenAlex (CC0) — nothing here is generated.