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La exigencia de capitales mínimos por riesgo de mercado - Nota técnica

Delfiner, Miguel and del Canto, Angel (2009): La exigencia de capitales mínimos por riesgo de mercado - Nota técnica. Published in:

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Abstract

Drawing on the use of a very simple hypothetical example, this document illustrates how to apply the formula that determines the capital requirement for market risk. The note starts with a brief explanation of the value at risk(VaR) concept on which that formula is based and follows with a brief description of the regulation. Next, starting with an hypothetical trading portfolio and a simulated evolution of the prices there included, we work out step-by-step the market risk capital requirement as well as the resulting change in bank capital. A spreadsheet is attached which allows to reproduce all the calculations.

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