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Committees at the Bank for International Settlement (BIS)

An Internal Model-Based Approach to Market Risk Capital Requirements

This paper was superseded by the January 1996 papers contained in the three previous chapters.

Overview

I. Common elements of banks' approaches to risk measurement

II. Lessons learnt from the testing exercise

III. General elements of a supervisory framework for the use of internal models in the measurement of market risks

IV. Quantitative standards

V. Stress testing

VI. External validation

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