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Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano

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Author Info

  • Del Carpio, Carlos
  • Zevallos, Mauricio

Abstract

Recientemente la Superintendencia de Banca, Seguros y AFP publicó el reglamento sobre requerimientos de capital por riesgo de mercado con el objetivo de adecuar la legislación peruana a los estándares recomendados por el Comité de Supervisión Bancaria de Basilea. Esta disposición exige que las instituciones del sistema financiero calculen capital a través de uno de dos métodos: el Método Estándar provisto por el ente regulador, o el de modelos internos para la estimación del valor en riesgo desarrollados por estas instituciones. En el presente trabajo, se evalúan tres métodos para el cálculo de capital: elMétodo Estándar y dos alternativas de modelos internos, una basada en el método RiskmetricsTM y otra basada en el método CAViaR. Se compara la suficiencia de capital lograda por cada método sobre una serie de portafolios de control conformados por acciones peruanas. En particular, se evalúa la eficacia de cada método considerando el periodo de estrés desatado a fines de 2008 tras la quiebra de Lehman Brothers.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/19/Estudios-Economicos-19-3.pdf
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Bibliographic Info

Article provided by Banco Central de Reserva del Perú in its journal Revista Estudios Económicos.

Volume (Year): (2010)
Issue (Month): 19 ()
Pages: 47-62

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Handle: RePEc:rbp:esteco:ree-19-03

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