Supervisory Treatment of Market Risks

This version

BCBS  | 
27 April 1993
Status:  Closed
Topics: Market risk

The Basel Committee on Banking Supervision ("the Committee") is issuing the attached proposals for the supervisory treatment of market risks incurred by banks. Market risk is the risk of losses in on and offbalance- sheet positions arising from movements in market prices, including interest rates, exchange rates and equity values. The basic thrust of the proposals is to require capital requirements for open positions in debt securities, equities and foreign exchange. It is intended that, following a comment period, the proposed new capital requirements would be integrated with the Basle Capital Accord ("the Accord' ).