Landmark development - Internal market risk models: Basel Committee (1995)

Risk staff
01 Jul 2007

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I believe April 1995 will ultimately be recognised as an important watershed in the history of banking supervision. It was then that the Basel Committee accepted the use of internal models to calculate a bank's minimum regulatory capital for market risk. This was a dramatic departure from the initial proposal issued in 1993.

The Basel Committee's original plan involved slotting trading assets and liabilities into a fixed maturity grid according to detailed ground rules. In many instances, it was

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