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Modeling the Market Risk in the Context of the Basel III Acord

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  • Nicolae DARDAC

    (Bucharest Academy of Economic Studies)

  • Alina GRIGORE

    (Bucharest Academy of Economic Studies)

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    Abstract

    Basel III revealed new aspects to be considered in terms of risk management and supervision of banking systems. Banks may use internal models to determine minimum capital requirements imposed by new regulations to be adopted gradually in the period 2013-2019. In this context, the implementation of internal models by banks, applying VaR or ES risk measures, is a challenge both in terms of continued growth in the number of methods used and the complexity of practical approaches. This study aims to estimate the market risk by VaR and ES risk measures using parametric methods, nonparametric and Monte Carlo simulations. There will also be implemented stress tests to assess the capital adequacy under stressed macroeconomic environment.

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    Bibliographic Info

    Article provided by Asociatia Generala a Economistilor din Romania - AGER in its journal Theoretical and Applied Economics.

    Volume (Year): XVIII(2011) (2011)
    Issue (Month): 11(564) (November)
    Pages: 5-20

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    Handle: RePEc:agr:journl:v:11(564):y:2011:i:11(564):p:5-20

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    Keywords: VaR; ES; Monte Carlo simulations; GARCH models; kernel smoothing.;

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