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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | La exigencia de capitales mínimos por riesgo de mercado - Nota técnica |
| English Title: | Minimum capital requirements for market risk - Technical Note |
| Language: | Spanish |
| Keywords: | value at risk; market risk capital requirement |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation |
| Item ID: | 15815 |
| Depositing User: | Miguel Delfiner |
| Date Deposited: | 19 Jun 2009 12:56 |
| Last Modified: | 04 Oct 2019 07:51 |
| References: | Central Bank Minimum Capital Orderly Text |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/15815 |
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