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RBA Glossary definition for capital market
capital market – A market for medium to long-term financial instruments. Financial instruments traded in the capital market include shares, and bonds issued by the Australian Government, State governments, corporate borrowers and financial institutions.
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Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Nov 1997
RDP
9708
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1997/9708.html
Introduction
1 Nov 1997
RDP
9708
RDP 9708: Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques 1. ... Download the Paper 400. KB. At the beginning of 1998 the capital-adequacy standards applying to Australian banks will be amended and banks will be required to hold
https://www.rba.gov.au/publications/rdp/1997/9708/introduction.html
References
1 Nov 1997
RDP
9708
Download the Paper 400. KB. Basle Committee on Banking Supervision (1996a), ‘Amendment to the Capital Accord to Incorporate Market Risks’, January. ... Basle Committee on Banking Supervision (1996b), ‘Supervisory Framework for the use of
https://www.rba.gov.au/publications/rdp/1997/9708/references.html
Backtesting
1 Nov 1997
RDP
9708
Figure 5: Individual Portfolio Profit and Loss and VaR. Backtesting is a fundamental part of the market risk capital standards currently being put in place by supervisors around the world. ... 0.129. 0.001. D. 0.017. 0.672. E. 0.182. 0.000. Footnotes.
https://www.rba.gov.au/publications/rdp/1997/9708/backtesting.html
Value-at-risk
1 Nov 1997
RDP
9708
RDP 9708: Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques 2. ... In addition to its inclusion in the Basle Committee on Banking Supervision's guidelines for market risk capital adequacy,.
https://www.rba.gov.au/publications/rdp/1997/9708/value-at-risk.html