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Backtesting: Performance of capital requirements for market risk in the BCRA
[Backtesting: Funcionamiento de los requisitos de capital por riesgo de mercado del BCRA]

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Author Info
Delfiner, Miguel
Balzarotti, Verónica
del Canto, Angel

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Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/10231/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10231.

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Date of creation: Nov 2001
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Handle: RePEc:pra:mprapa:10231

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Related research
Keywords: Backtesting; regulatory capital;

Find related papers by JEL classification:
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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This page was last updated on 2009-12-22.

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