In January 1996, the Basel Committee on Bank Supervision of the Bank for International Settlements issued the so-called New Capital Accord, amending the Capital Accord to incorporate market risk. The New Accord was adopted by 12 member countries, including the USA, the UK, and Japan, of the Basel Committee as of the end of 1997. Korea is not obligated to adopt the New Accord, because it is not a member country of the Basel Committee. However, Korea is planning to amend its regulatory provisions and will require Korean banks to follow the accord by the end of 2001, so that they will be able to meet international capital standards.
Market risk is defined as the risk of losses in on and off balance-sheet positions arising from the movements in market prices. Such market risk arises from the movements of interest rates, equity prices in relation to the positions in the trading book, and changes in foreign exchange rates throughout the banking book.
Banks with significant exposure to market risk will be required to adopt the new capital standards. For the measurement of market risk, banks have the option of either applying the standardized method provided by Financial Supervisory Service or applying internal models developed by the banks themselves. Capital charges are estimated based on the market risk measured. For the calculation of the BIS capital ratio (eligible capital divided by risk-weighted asset), banks may employ tier 3 capital, consisting of short-term subordinated debt subject to certain conditions. Banks are required to maintain a minimum 8% BIS capital ratio.
신BIS기준 자기자본비율 산출기준의 도입과 과제
|Series Title; No||정책조사보고서 / 2000-02|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|