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La exigencia de capitales mínimos por riesgo de mercado - Nota técnica
[Minimum capital requirements for market risk - Technical Note]


  • Delfiner, Miguel
  • del Canto, Angel


Drawing 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.

Suggested Citation

  • Delfiner, Miguel & del Canto, Angel, 2009. "La exigencia de capitales mínimos por riesgo de mercado - Nota técnica
    [Minimum capital requirements for market risk - Technical Note]
    ," MPRA Paper 15815, University Library of Munich, Germany, revised 01 Jan 2009.
  • Handle: RePEc:pra:mprapa:15815

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    value at risk; market risk capital requirement;

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation


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