The New Basel Capital Accord

Professorship/Faculty: Banking and Financial Control  
Author(s): Holtorf, Claudia; Muck, Matthias ; Rudolf, Markus
Title of the compilation: Risk management : challenge and opportunity ; with 125 tables
Editors: Frenkel, Michael; Rudolf, Markus; Hommel, Ulrich
Publisher Information: Berlin [u.a.] : Springer
Year of publication: 2005
Pages: 79-98
Illustrations: Diagramme
Edition: 2
ISBN: 978-3-540-22682-6
Language(s): English
DOI: 10.1007/3-540-26993-2_4
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
Document Type: Contribution to an Articlecollection
Year of publication: 28. October 2013