English, Article, Journal or magazine article edition: Backtesting: Performance of capital requirements for market risk in the BCRA; Backtesting: Funcionamiento de los requisitos de capital por riesgo de mercado del BCRA Delfiner, Miguel; Balzarotti, Verónica; del Canto, Angel

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Bookmark: http://trove.nla.gov.au/version/122676
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Backtesting: Performance of capital requirements for market risk in the BCRA; Backtesting: Funcionamiento de los requisitos de capital por riesgo de mercado del BCRA
Author
  • Delfiner, Miguel
  • Balzarotti, Verónica
  • del Canto, Angel
Physical Description
  • preprint
Notes
  • The Central Bank of Argentina (BCRA) introduced in September of 1996 a capital requirement for market risk. This requirement is calculated according to a standarized formulae set by the BCRA, based on a a Value-at-Risk (VaR) of tghe trading portfolio. This document studies the performance of the local methodology for establishing this requirement by means of a backtesting methodology applied to the trading portfolio of all local banks. According to our results, the standarized method established by the BCRA for fixing capital requirements for market risk understates the amount of capital needed to cover the risk.
  • Backtesting; regulatory capital
  • RePEc:pra:mprapa:10231
Language
  • English
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