bcbs119 - Basel Committee on Banking Supervision Amendment...

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Unformatted text preview: Basel Committee on Banking Supervision Amendment to the Capital Accord to incorporate market risks Updated November 2005 Superseded document Superseded document Requests for copies of publications, or for additions/changes to the mailing list, should be sent to: Bank for International Settlements Press & Communications CH-4002 Basel, Switzerland E-mail: publications@bis.org Fax: +41 61 280 9100 and +41 61 280 8100 Bank for International Settlements 2005. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN print: 92-9131-695-4 ISBN web: 92-9197-695-4 Superseded document Superseded document Market Risk Amendment updated 2005 Table of Contents Amendment to the Capital Accord to incorporate market risks.................................................1 Introduction...............................................................................................................................1 I. The risk measurement framework...................................................................................1 (a) Scope and coverage of the capital charges...........................................................1 (b) Methods of measuring market risks .......................................................................2 (c) Transitional arrangements .....................................................................................4 II. The capital requirement...................................................................................................5 (a) Definition of capital.................................................................................................5 (b) Calculation of the capital ratio................................................................................6 Part A: The Standardised Measurement Method .....................................................................7 A.1 Interest Rate Risk............................................................................................................7 I. Specific risk .....................................................................................................................7 1. Specific risk capital charges for issuer risk ............................................................7 2. Specific risk rules for unrated debt securities.........................................................9 3. Specific risk rules for non-qualifying issuers ..........................................................9 4. Specific risk capital charges for positions hedged by credit derivatives...............10 II. General market risk.......................................................................................................11 III. Interest rate derivatives.................................................................................................14 1. Calculation of positions ........................................................................................15 2. Calculation of capital charges for derivatives under the standardised...
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This note was uploaded on 09/19/2011 for the course FINS 3650 taught by Professor Arnold during the Three '11 term at University of New South Wales.

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bcbs119 - Basel Committee on Banking Supervision Amendment...

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