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

Listed author(s):
  • 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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15815.

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Date of creation: 01 Jan 2009
Date of revision: 01 Jan 2009
Handle: RePEc:pra:mprapa:15815
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