An internal model-based approach to market risk capital requirements

This version

BCBS  | 
21 April 1995
Status:  Closed
Topics: Market risk

In April 1993 the Basle Committee on Banking Supervision issued for comment by banks and financial market participants a paper entitled "The supervisory treatment of market risks". That paper set out a framework for applying capital charges to the market risks incurred by banks, defined as the risk of losses in on- and off-balance-sheet positions arising from movements in market prices. The Committee has now concluded its review of the comments received and is issuing a revised package of proposals. This paper, which forms a part of that package, provides a commentary on Part B of the accompanying planned Supplement to the Capital Accord.