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

  1. Stupariu, Patricia 1
  2. Ruiz, Juan Rafel 1
  3. Vilariño, Ángel 1
  1. 1 Universidad Complutense de Madrid
    info

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

Revista:
Papeles de Europa

ISSN: 1989-5917

Any de publicació: 2015

Títol de l'exemplar: La Crisis en la UEM

Volum: 28

Número: 1

Pàgines: 27-59

Tipus: Article

DOI: 10.5209/REV_PADE.2015.V28.N1.50180 DIALNET GOOGLE SCHOLAR lock_openAccés obert editor

Altres publicacions en: Papeles de Europa

Resum

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.

Fuente de los datos: Dialnet