| VOLUME TWO - ADVANCED SUPERVISORY METHODS | ||
Chapter I : Management of derivative and off-balance-sheet risks | ||
| (The first four papers in this section were prepared in collaboration with the Technical Committee of the International Organisation of Securities Commissions.) | ||
| Risk management guidelines for derivatives (July 1994) (17 pages, 66197 bytes) | ||
| A paper prepared principally for supervisory authorities which sets out a number of principles designed to promote the sound internal risk management of banks' derivatives activities. | ||
| Framework for supervisory information about derivatives and trading activities (September 1998) (48 pages, 197597 bytes) | ||
| A paper that presents a framework that supervisors can use to enhance the information reported to them on exchange-traded and OTC derivatives activities. | ||
| Recommendations for public disclosure of the trading and derivatives activities of banks and securities firms (October 1999) (28 pages, 129506 bytes) | ||
| Recommended best practices for the trading and derivatives-related disclosures in the annual reports of large banks and securities firms. | ||
| Trading and derivatives disclosures of banks and securities firms (December 1999) (34 pages, 167955 bytes) | ||
| A survey of the disclosures made by internationally-active banks and securities firms in their 1998 annual accounts. | ||
| Risk management for electronic banking and electronic money activities (March 1998) (25 pages, 112045 bytes) | ||
| A document that provides guidance for banks and bank supervisors in managing the risks arising from electronic banking. | ||
Chapter II : Capital adequacy | ||
| Overview of the Amendment to the Capital Accord to incorporate market risks (January 1996, updated to April 1998) (10 pages, 45959 bytes) | ||
| An explanatory note for two more detailed papers issued simultaneously describing amendments to the 1988 Basel Capital Accord. | ||
| Amendment to the Capital Accord to incorporate market risks (January 1996, updated to April 1998) (57 pages, 212581 bytes) | ||
| The detailed methodology agreed by the Basel Committee to set capital requirements for market risks that were incorporated in the Basel Capital Accord from end-1997. | ||
| Supervisory framework for the use of "backtesting" in conjunction with the internal models approach to market risk capital requirements (January 1996) (16 pages, 69805 bytes) | ||
| A technical note that presents a methodology for testing the accuracy of the models used by banks to measure their market risks. | ||
| An internal model-based approach to market risk capital requirements (April 1995) (18 pages, 77994 bytes) | ||
| A description of value-at-risk models and the rationale for using their results as a basis for measuring banks' market risk capital requirements. | ||
| Interpretation of the Capital Accord for the multilateral netting of forward value foreign exchange transactions (April 1996) (10 pages, 44949 bytes) | ||
| A description of the manner in which the Basel Committee plans to apply capital requirements to banks participating in multilateral netting arrangements for forward foreign exchange contracts. | ||
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