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Modifications to the market risk amendment

Type
Publication
Series
Standards
Date Published
19 September 1997
Status
Superseded
Sources
BCBS
Topics
Market risk

This document amends the Committee's 1996 standards on market risk. It removes the provision that requires that the specific risk capital charge of the internal models approach be subject to an overall floor equal to 50% of the specific risk amount calculated under the standardised approach.


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