The New Basel Capital Accord

Professorship/Faculty: Banking and Financial Control  
Authors: Holtorf, Claudia; Muck, Matthias ; Rudolf, Markus
Title of the compilation: Risk management : challenge and opportunity ; with 125 tables
metadata.ubg.editor.articlecollection: ; ;
Publisher Information: Berlin [u.a.] : Springer
Year of publication: 2005
Pages / Size: S. 79 - 98 : graph. Darst.
Edition: 2. Aufl.
ISBN: 978-3-540-22682-6
Language(s): English
Document Type: Contribution to an Articlecollection
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
Release Date: 25. October 2012