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

Author

Listed:
  • 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.

Suggested Citation

  • Del Carpio, Carlos & Zevallos, Mauricio, 2010. "Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 19, pages 47-62.
  • Handle: RePEc:rbp:esteco:ree-19-03
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • 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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