Modelos VaR para calcular el capital mínimo regulatorio por riesgo de mercado

  1. Patricia Stupariu 1
  2. Juan Rafael Ruiz Gómez 1
  3. Ángel Vilariño Sanz 1
  1. 1 Universidad Complutense de Madrid

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

Papeles de Europa

ISSN: 1989-5917

Year of publication: 2015

Volume: 28

Issue: 1

Pages: 27-59

Type: Article

DOI: 10.5209/REV_PADE.2015.V28.N1.50180 DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: Papeles de Europa


Cited by

  • Web of Science Cited by: 0 (22-09-2023)
  • Dimensions Cited by: 0 (15-04-2023)

Índice Dialnet de Revistas

  • Year 2015
  • Journal Impact: 0.060
  • Field: ECONOMÍA Quartile: C3 Rank in field: 86/166


  • Social Sciences: C


(Data updated as of 15-04-2023)
  • Total citations: 0
  • Recent citations: 0
  • Field Citation Ratio (FCR): 0.0


The undergoing overhaul of the Basel III market risk regulatory framework addresses the possibility of replacing VaR models with an alternative method for calculating minimum capital requirements. This paper will calculate the regulatory capital for a hypothetical equity portfolio of 20 of the main stocks in the S&P500, between 2000 and 2014. The RiskMetrics methodology and GARCH(1,1) models are used to estimate volatilities, covariances and correlations. Our results show that the regulatory capital calculated using Basel II rules is at all times above realized portfolio losses.