Abstract
The Basle Committee on Banking Supervision has effected major changes to its proposals for amendments to the Capital Accord of 1998. These amendments involve the capital adequacy assessment of internationally active banks to take account of market risks and credit risks. They include the abolition of a dual observation period for determining capital charges and flexibility in terms of weighting schemes for the observation period as well as adjustment of banks' value-at-risk measure to arrive at the required 10-day holding period. A survey is undertaken of this new assessment regime. JEL Codes: G18
Keywords
Capital (architecture)EconomicsFlexibility (engineering)Capital requirementCapital adequacy ratioRisk-adjusted return on capitalWeightingEconomic capitalMarket riskAmendmentActuarial scienceBusinessMonetary economicsFinanceFinancial capitalCapital formationHuman capitalMarket economyLawPolitical science
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Publication Info
- Year
- 2013
- Type
- article
- Volume
- 49
- Issue
- 194
- Pages
- 271-277
- Citations
- 290
- Access
- Closed
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Cite This
Maximilian J.B. Hall
(2013).
The amendment to the capital accord to incorporate market risk.
DOAJ (DOAJ: Directory of Open Access Journals)
, 49
(194)
, 271-277.
https://doi.org/10.13133/2037-3643/10615
Identifiers
- DOI
- 10.13133/2037-3643/10615