Amendment to the capital accord to incorporate market risks

This version

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Status:  Superseded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

This document is the main section of a three-part package of documents issued by the Basle Committee to amend the Capital Accord of July 1988 to take account of market risks.

The document provides a detailed account of the methodology laid down by the Basle Committee to set capital requirements for market risks. It describes two alternative approaches to the measurement of market risk, a standardised method and an internal models approach, closing with a number of worked examples. The other papers in the package are an overview of the market risk amendment and a technical paper on the backtesting of models.