Amendment to the Capital Accord to incorporate market risks

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Tags:
Management,
Risk,
Security,
Strategy
Source:
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Overview: Market risk is defined as the risk of losses in on and off-balance-sheet positions arising from movements in market prices. This paper explains that, to obtain an accurate and fair measure of market risk, it will be necessary to allow banks some freedom (subject to close supervisory monitoring as defined in the paragraph below) to include within the market risk measure certain non-trading instruments on-or off-balance sheet, which are deliberately used to edge the trading activities. Read on for more information.

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Format: PDF | Size: 239KB | Date: Feb 1996 | Pages: 56

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