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Committees at the Bank for International Settlement (BIS)

Overview of the Amendment to the Capital Accord to Incorporate Market Risks

Overview of the Amendment to the Capital Accord to Incorporate Market Risks

I. Summary of Conclusions

II. The Use of Internal Models for Supervisory Purposes

  • Multiplication factor
  • Additional flexibility in parameters
  • The plus factor
  • Treatment of specific risk
  • Summary

III. The standardised methodology

IV.The definition of capital

V. Other issues relating to the operation of capital requirements for market risks

VI. Cooperation with other supervisory authorities

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