Overview of the amendment to the capital accord to incorporate market risks

This version

BCBS  | 
04 January 1996
Status:  Superseded
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 |  11 pages
Topics: Market risk

This document is the cover paper for a three-part package issued by the Basel Committee with the approval of the G-10 central-bank Governors. The package sets out details of an amendment to the Basel Capital Accord of July 1988 to take account of market risks. The amendment is to take effect at the latest by end-1997.

The document summarises the Committee's objectives in introducing the amendment and outlines the methodology for the two alternative methods of calculating market risk, the models approach and the standardised approach. It is proceeded by a press release. The other two papers in the package are a detailed description of the methodology adopted and a technical note on the backtesting of models.