La exigencia de capitales mínimos por riesgo de mercado - Nota técnica
[Minimum capital requirements for market risk - Technical Note]
AbstractDrawing on the use of a very simple hypothetical example, this document illustrates how to apply the formula that determines the capital requirement for market risk. The note starts with a brief explanation of the value at risk(VaR) concept on which that formula is based and follows with a brief description of the regulation. Next, starting with an hypothetical trading portfolio and a simulated evolution of the prices there included, we work out step-by-step the market risk capital requirement as well as the resulting change in bank capital. A spreadsheet is attached which allows to reproduce all the calculations.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15815.
Date of creation: 01 Jan 2009
Date of revision: 01 Jan 2009
value at risk; market risk capital requirement;
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