Abstract
Starting in 1998, banks in the G-10 countries will be required to measure and apply capital charges to the market risks they incur.1 This supplements the 1988 Basel Accord, which focused on capital charges in respect to credit risk.2 Market risks are defined as risk of losses in on- and off-balance-sheet positions resulting from movements in market prices. The market risks subject to these requirements are interest rate risk of debt instruments and price risk of equities in the trading book; foreign exchange risk and commodities price risk throughout the bank.3
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Landskroner, Y., Ruthenberg, D., Zaken, D. (1999). Market Risks—the Amendment to the Basel Capital Accord and Internal Model Approach: The Israeli Case. In: Galai, D., Ruthenberg, D., Sarnat, M., Schreiber, B.Z. (eds) Risk Management and Regulation in Banking. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5043-3_12
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DOI: https://doi.org/10.1007/978-1-4615-5043-3_12
Publisher Name: Springer, Boston, MA
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