VaR models to calculate the minumun regulatory capital at market risk
The undergoing overhaul of the Basel III market risk regulatory framework addresses the possibility of replacing VaR models with an alternative method for calculating minimum capital requirements. This paper will calculate the regulatory capital for a hypothetical equity portfolio of 20 of the main...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Complutense de Madrid
2015-09-01
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| Series: | Papeles de Europa |
| Subjects: | |
| Online Access: | http://147.96.1.34/index.php/PADE/article/view/50180 |