Bank Of England's Final Version Of CAD Permits Basle-Style Use Of VAR Models
REGULATIONS
The Bank of England (BoE) has released a final version of its implementation of the Capital Adequacy Directive (CAD) that attempts to minimise the differences between the CAD and the proposals issued by the Basle Committee on Banking Supervision last month (FXW, April 17).
The new BoE version, which amends the consultative version released in December (FXW, December 19 ), says the Bank may allow much more extensive use of Value-at-Risk (VAR) models to calculate capital requirements subject to
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