Backtesting: Performance of capital requirements for market risk in the BCRA
[Backtesting: Funcionamiento de los requisitos de capital por riesgo de mercado del BCRA]
AbstractThe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10231.
Date of creation: Nov 2001
Date of revision:
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; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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