The New Basel Capital Accord

Claudia Holtorf, Matthias Muck and Markus Rudolf ()
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Markus Rudolf: Wissenschaftliche Hochschule für Unternehmensführung WHU - Otto Beisheim Graduate School of Management

A chapter in Risk Management, 2005, pp 79-98 from Springer

Abstract: Abstract 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.

Keywords: Capital Requirements; Value at Risk; BIS Standard Model; Basel II; Credit Risk; Operational Risk (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-26993-9_4

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DOI: 10.1007/3-540-26993-2_4

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