This paper addresses the capital requirements based on the RiskMetrics™ framework and the BIS standard model. A case study is developed which shows that the capital requirements can be reduced by applying the more accurate RiskMetrics™ framework. Furthermore it gives an overview of the capital requirement rules for credit risk and operational risk in the Basel II Accord. © 2005 Springer Berlin · Heidelberg.
CITATION STYLE
Holtorf, C., Muck, M., & Rudolf, M. (2005). The new basel capital accord. In Risk Management: Challenge and Opportunity (pp. 79–98). Springer Berlin Heidelberg. https://doi.org/10.1007/3-540-26993-2_4
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