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Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil

Author

Listed:
  • Adrián F. Rossignolo

    (Universidad de San Andrés Argentina Universidad de Buenos Aires Argentina)

  • Víctor A. Álvarez

    (Universidad de San Andrés Argentina Universidad de Buenos Aires Argentina)

Abstract

Las secuelas perjudiciales de la crisis financiera de 2008 han instado al Comité de Basilea para apretar las regulaciones referidas a los requisitos de capital mínimo. En este sentido, la revisión a fondo del marco de riesgo de mercado derivado de los convenios de Basilea III- Acuerdo de Capital promulgado recientemente concluyó con una renovación importante de la metodología de modelos internos de valor en riesgo basado en la adición del componente-VaR estresado al MCR , manteniendo al mismo tiempo el enfoque simplificado disponible.

Suggested Citation

  • Adrián F. Rossignolo & Víctor A. Álvarez, 2015. "Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 1-38, Enero-Jun.
    • Handle: RePEc:imx:journl:v:10:y:2015:i:1:p:1-38
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    File URL: http://www.remef.org.mx/index.php/remef/article/view/64/113
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    References listed on IDEAS

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    More about this item

    Keywords

    Value at Risk; Extreme Value Theory; Commodities; Capital Requirements; stressed VaR; Simplified Approach;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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