IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/15815.html
   My bibliography  Save this paper

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

Author

Listed:
  • Delfiner, Miguel
  • del Canto, Angel

Abstract

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
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/15815/1/MPRA_paper_15815.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    value at risk; market risk capital requirement;

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:15815. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.