Banks' internal risk management models and their prudential recognition
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چکیده
65 Banks' internal risk management models and their prudential recognition The Basle Market Risk Paper,1 which amended the Basle Capital Accord of 1988, requires internationally operating banks to apply capital charges to their market price risks2 as well as to their counterparty risks as from December 31, 1997. One reason is the sharply growing importance of off-balancesheet business; in Germany alone, the trading volume has risen by more than thirty times since 1986. To measure these risks, and also to calculate the required capital charge, under certain conditions the institutions are permitted to use internal risk management models as an alternative to the standardised methods prescribed by banking supervisors.
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تاریخ انتشار 1998