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Basle Standards for Market Risk
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A set of bank capital requirements to cover financial market risk. These standards are complementary to capital requirements designed to meet credit risk. The Basle committee would permit a bank to use its own internal risk models once they have been thoroughly tested and provided they do not call for a lower capital standard. The Committee's version of a value at risk (VAR) capital requirement offers no credit for lack of correlation among markets and requires a multiple of three times the 99th percentile VAR figure as minimum capital. The relationship of the Basle requirements to the EU Capital Adequacy Directive is not yet clear.
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