New regulation proposed by the Basel Committee on Banking Supervision to cover specific market risks. According to this proposal, banks are to hold capital for default, migration, credit spread and equity price risks. The calculation basis is to be based on significantly more stringent model assumptions, i.e. a 99.9 percent confidence level, a one-year capital horizon and product-related holding periods of at least three months. – Cf. BaFin Annual Report 2008, p. 50 (BCBS proposals).
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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
E-mail address: info@ekrah.com
https://de.wikipedia.org/wiki/Gerhard_Ernst_Merk
https://www.jung-stilling-gesellschaft.de/merk/
https://www.gerhardmerk.de/