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A comparison of the original and revised Basel market risk frameworks for regulating bank capital

โœ Scribed by Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu


Book ID
123519360
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
693 KB
Volume
85
Category
Article
ISSN
0167-2681

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โœ Michael Bowe; Maximilian J.B. Hall ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 239 KB ๐Ÿ‘ 2 views

The EC's Capital Adequacy Directive (CAD) and the 1995 Basle Committee (BC) proposals are analysed as approaches to regulating market risk. We derive conditions under which the BC's proposal, namely supplementing a CAD-type standardized risk measurement framework with proprietary procedures subject