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BCBS Statement: Guidelines for computing capital for incremental risk in the trading book - final version

( July 13, 2009, 16:00 GMT | Official Statement) -- Extract: The Basel Committee/IOSCO Agreement reached in July 2005, 1 contained several improvements to the capital regime for trading book positions. Among these revisions was a new requirement for banks that model specific risk to measure and hold capital against default risk that is incremental to any default risk captured in the bank’s value-at-risk (VaR) model.July 2009...

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