The Basel Committee on Banking Supervision issued an updated version of Basel II, as well as an updated version of the “Amendment to the Capital Accord to incorporate market risks”. As a matter of convenience these updated versions incorporate the paper “Application of Basel II to trading activities and the treatment of double default effects” of July 2005.
The paper sets forth capital requirements for banks' exposures to certain trading-related activities, including counterparty credit risk, and for the treatment of double default effects, or the risk that both a borrower and guarantor default on the same obligation. These requirements have been reflected into the appropriate sections of both the Basel II document and the Market Risk Amendment.
Related Website
Basel II - update November
Amendment to the Capital Accord to incorporate market risks - update November
Application of Basel II to Trading Activities and the Treatment of Double Default Effects
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