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Backtesting: Performance of capital requirements for market risk in the BCRA

Backtesting: Funcionamiento de los requisitos de capital por riesgo de mercado del BCRA

Miguel Delfiner (), Veronica Balzarotti () and Angel del Canto

MPRA Paper from University Library of Munich, Germany

Abstract: The Central Bank of Argentina (BCRA) introduced in September of 1996 a capital requirement for market risk. This requirement is calculated according to a standarized formulae set by the BCRA, based on a a Value-at-Risk (VaR) of tghe trading portfolio. This document studies the performance of the local methodology for establishing this requirement by means of a backtesting methodology applied to the trading portfolio of all local banks. According to our results, the standarized method established by the BCRA for fixing capital requirements for market risk understates the amount of capital needed to cover the risk.

Keywords: Backtesting; regulatory capital (search for similar items in EconPapers)
JEL-codes: G28 G32 (search for similar items in EconPapers)
Date: 2001-11
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