The New Basel Capital Accord
Holtorf, Claudia; Muck, Matthias; Rudolf, Markus (2005): The New Basel Capital Accord, in: Michael Frenkel, Markus Rudolf, und Ulrich Hommel (Hrsg.), Risk management : challenge and opportunity ; with 125 tables, 2. Auflage Berlin [u.a.]: Springer, S. 79–98, doi: 10.1007/3-540-26993-2_4.
Faculty/Chair:
Author:
 ;  ; 
Title of the compilation:
Risk management : challenge and opportunity ; with 125 tables
Editors:
Publisher Information:
Year of publication:
2005
Pages:
Edition:
2
ISBN:
978-3-540-22682-6
978-3-540-26993-9
Language:
English
DOI:
URL:
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
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Value at Risk
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BIS Standard Model
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Basel II
 ; 
Credit Risk
Type:
Contribution to an Articlecollection
URI:
Activation date:
October 28, 2013

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