TERMIUM Plus®

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MARKET-RISK MODEL [1 record]

Record 1 1998-01-28

English

Subject field(s)
  • Investment
CONT

The BIS [Bank for International Settlements] has already agreed that, from the beginning of next year, banks may use their own models for measuring how much capital they need to hold to guard against market risk ... yet the regulators have so little confidence in the robustness of these market-risk models that they have stipulated that any bank wishing to use one must multiply by three the amount of capital its model says it needs.

French

Domaine(s)
  • Investissements et placements
CONT

La BRI [Banque des règlements internationaux] a déjà donné son accord pour que, à partir du début de 1998, les banques puissent utiliser leurs propres modèles d'évaluation du niveau de fonds propres nécessaire pour se prémunir contre le risque de marché [...] néanmoins les autorités de tutelle ont si peu confiance dans la fiabilité de ces modèles d'évaluation des risques de marché qu'elles ont stipulé que toute banque souhaitant en utiliser un doit multiplier par trois le montant de fonds nécessaire pour se prémunir contre ces risques tel que le modèle l'évalue.

Spanish

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