English, Article, Journal or magazine article edition: La exigencia de capitales mínimos por riesgo de mercado - Nota técnica; Minimum capital requirements for market risk - Technical Note Delfiner, Miguel; del Canto, Angel

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Bookmark: http://trove.nla.gov.au/version/122509
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • La exigencia de capitales mínimos por riesgo de mercado - Nota técnica; Minimum capital requirements for market risk - Technical Note
Author
  • Delfiner, Miguel
  • del Canto, Angel
Physical Description
  • preprint
Notes
  • 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.
  • value at risk; market risk capital requirement
  • RePEc:pra:mprapa:15815
Language
  • English
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