The Basel Committee on Banking Supervision has published a paper which sets out its findings and recommendations on the range of practices and issues in economic capital modelling (the Paper).
The Paper provides an overview of the range of practices in economic capital modelling at large banking organisations. The Paper also discusses governance processes, risk measurement and aggregation, and the validation of economic capital models.
The Paper is addressed to banks that have implemented or are considering implementing economic capital into their internal processes. The Paper is also addressed to supervisors, who are required under Pillar 2 (supervisory review process) of the Basel II framework, to review and evaluate banks' internal capital adequacy assessments.
The deadline for comments on the Paper is 28 November 2008.
View Range of practices and issues in economic capital modelling, 29 August 2008