VaR models to calculate the minumun regulatory capital at market risk

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...

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Bibliographic Details
Main Authors: Patricia Stupariu, Juan Rafel Ruiz, Ángel Vilariño
Format: Article
Language:English
Published: Universidad Complutense de Madrid 2015-09-01
Series:Papeles de Europa
Subjects:
Valor en riesgo
Basilea
regulación financiera
riesgo de mercado
Online Access:http://147.96.1.34/index.php/PADE/article/view/50180

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