1. Basel Committee on Banking Supervision (1988) ‘International convergence of capital measurement and capital standards’, Bank for International Settlements, Basel.
2. Dowd, K. (1997) ‘The regulation of bank capital adequacy’, Advances in Austrian Economics, Vol.4, pp.95–110.
3. Jackson, P., Maude, D. and Perraudin, W. (1997) ‘Bank capital and value at risk’, Journal of Derivatives, Spring, pp.73–89.
4. The denominator of the new ratio is the sum of the risk-weighted assets and 12.5 times the market risk capital charge (where 12.5 is the reciprocal of the minimum capital ratio of 8 per cent). The numerator of the second ratio is the sum of the banks tier 1, tier 2 and tier 3 capital. Tier 3 capital could be used solely to meet the market risk capital charge, while tier 1 and tier 2 capital could also be used to satisfy the market risk capital charge once the credit risk allocation had been met in full. At least 50 per cent of the banks qualifying capital, however, had to be tier 1 (with term subordinated debt not exceeding 50 per cent) and the sum of tiers 2 and 3 capital allocated to market risk, not exceeding 250 per cent of the tier 1 capital allocated to market risk (so that at least 28.57 per cent of market risk capital had to be tier1).
5. Crouhy, M., Galai, D. and Mark, R. (1998) ‘The New 1998 Regulatory Framework for Capital Adequacy: Standardised Models versus Internal Models’, in Carol, A. (ed.)Risk Measurement and Analysis. Vol. 1: Measuring and Modelling Financial Risk, Chapter 1,Wiley, Chichester. See also Basel Committee on Banking Supervision (1996) ‘Amendment to the capital accord to incorporate market risks’, Bank for International Settlements, Basel.