Why is there an add-on amount in Basel I for derivatives transactions? Basel I could be improved

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Why is there an add-on amount in Basel I for derivatives transactions? “Basel I could be improved if the add-on amount for a derivatives transaction depended on the value of the transaction.” How would you argue this viewpoint?

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Risk Management and Financial Institutions

ISBN: 978-1118955949

4th edition

Authors: Hull John

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Question Posted: Jul 30, 2015 03:11 AM

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Why is there an add-on amount in Basel I for derivatives transactions? Basel I could be improved

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The capital requirement is the current exposure plus an addon amount multipl...View the full answer

Risk Management and Financial Institutions

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