Part C - Worked examples

Documents by Author

Committees at the Bank for International...

Amendment of the Capital Accord to Incor...

Part A - The standardised measurement me...

Part B - Use of internal models to measu...

Part C - Worked examples

Amendment of the Capital Accord to Incorporate Market Risk

Part C - Worked examples

C.1 Calculation of the Capital Ratio

C.2 Calculation of General Market Risk for Interest Rata Related Instrument

C.3 Maturity Ladder Approach for Commodities Risk

C.4 Delta-Plus Method for Options

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