Basle Convergence Accord

Basle Convergence Accord
An agreement reached in 1988 by the Group of Ten (G10), and enacted through the Bank for International Settlements, concerning capital adequacy regulations for banking in G10 countries. It suggested that banks should have specific liabilities to cover a minimum of 8% of their capital at risk Capital at risk was defined in terms of a set of multipliers to be attached to a number of different asset classes and multiplied by their balance-sheet worth. The Basle Market Risk Amendment (1996) allowed the use of internal risk models based on value-at-risk in the calculation of a bank's capital at risk. See also Basle Two

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  • Basle Two — An accord, implemented in 2004, that supplants the Basle Convergence Accord of 1988. It establishes a new framework for defining capital at risk and risk weightings, based to a greater extent than previously on credit ratings and internal models …   Big dictionary of business and management

  • capital at risk — A measure of worst case losses in excess of the average that is used in banking to calculate both capital requirements and certain performance measures, such as risk adjusted return on capital (RAROC). It is usually based on the value at risk… …   Big dictionary of business and management

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