capital at risk

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1 An element in the calculation of the capital requirements of a bank, under the system that was put in place by the Basle Convergence Accord (see Cooke ratio).

2 A measure of worst-case losses in excess of the average that is used in banking to calculate both capital requirements and certain performance measures, such as risk-adjusted return on capital (RAROC). It is usually based on the value-at-risk methodology.

Subjects: Financial Institutions and Services.

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