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Modelos VaR para calcular el capital mínimo regulatorio por riesgo de mercado
[VaR models to calculate the minimum regulatory capital at market risk]

Author

Listed:
  • Patricia Stupariu

    (Universidad Complutense de Madrid.)

  • Juan Rafael Ruiz

    (Universidad Complutense de Madrid.)

  • Ángel Vilariño

    (Universidad Complutense de Madrid.)

Abstract

La revisión de la regulación del riesgo de mercado de Basilea III contempla reemplazar los modelos VaR con una nueva métrica para el cómputo de los requerimientos mínimos de capital. En este trabajo se calcularán los requerimientos de capital por riesgo de mercado para una cartera de acciones del índice S&P500, entre el periodo 2000-2014 en base a la metodología RiskMetrics y alternativamente con modelos GARCH(1,1). Los resultados obtenidos muestran que el capital regulatorio calculado en base a las normas de Basilea II cubre en todo momento las pérdidas de la cartera.

Suggested Citation

  • Patricia Stupariu & Juan Rafael Ruiz & Ángel Vilariño, 2015. "Modelos VaR para calcular el capital mínimo regulatorio por riesgo de mercado [VaR models to calculate the minimum regulatory capital at market risk]," Papeles de Europa, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Estudios Internacionales (ICEI), vol. 28(1), pages 27-59.
    • Handle: RePEc:ucm:padeur:v:28:y:2015:i:1:p:27-59
    DOI: 10.5209/rev_PADE.2015.v28.n1.50180
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    More about this item

    Keywords

    Valor en riesgo; Basilea; Regulación financiera; Riesgo de mercado.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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