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The New Standardised Approach as a Credible Fallback

Author

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  • Adrián F. Rossignolo

    (University of Leicester, United Kingdom)

Abstract

El artículo intenta mensurar el efecto del Enfoque Estandarizado (SA) modificado de Basilea IV como un soporte creíble para el enfoque de Modelos Internos (IMA). Empleando portafolios accionarios de UK y US, el análisis revela Capitales Mínimos Regulatorios (MCR) algo elevados, confiriendo a dichos valores una naturaleza extra-conservadora. Ello, a su vez, generaría desincentivos para el desarrollo de Modelos Internos precisos ahogando la innovación financiera, hecho que podría remediarse introduciendo cambios mínimos en la especificación de SA. Un análisis de simulación muestra que la variación de los componentes fijos de la fórmula conjuntamente con la introducción de parámetros de calibración permiten adaptar los MCR a las necesidades de los reguladores locales utilizando un indicador estresado como el Ratio de Cobertura de Pérdidas, siempre bajo extrema precaución. Este estudio se sitúa entre los primeros -excluido el BCBS- al momento de cuantificar el nivel de capital mínimo y evaluarlo en función de una crisis de magnitud considerable hallando que la configuración actual entrega MCR relativamente excesivos; adicionalmente, proporciona soluciones alternativas que permitirían la constitución de coberturas de capital adecuadas -mas no desproporcionadas-.

Suggested Citation

  • Adrián F. Rossignolo, 2021. "The New Standardised Approach as a Credible Fallback," 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. 16(TNEA), pages 1-27, Septiembr.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:tnea:a:1
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    References listed on IDEAS

    as
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    5. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Comité de Basilea; Requisitos de capital; Enfoque estandarizado; Pesos de riesgo; Parámetros de correlación;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G01 - Financial Economics - - General - - - Financial Crises
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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