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

Journal:
Papeles de Europa

ISSN: 1989-5917

Year of publication: 2015

Issue Title: La Crisis en la UEM

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

Abstract

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.

Data source: Dialnet