La exigencia de capitales mínimos por riesgo de mercado - Nota técnica

Minimum capital requirements for market risk - Technical Note

Miguel Delfiner () and Angel del Canto

MPRA Paper from University Library of Munich, Germany

Abstract: Drawing on the use of a very simple hypothetical example, this document illustrates how to apply the formula that determines the capital requirement for market risk. The note starts with a brief explanation of the value at risk(VaR) concept on which that formula is based and follows with a brief description of the regulation. Next, starting with an hypothetical trading portfolio and a simulated evolution of the prices there included, we work out step-by-step the market risk capital requirement as well as the resulting change in bank capital. A spreadsheet is attached which allows to reproduce all the calculations.

Keywords: value at risk; market risk capital requirement (search for similar items in EconPapers)
JEL-codes: G18 (search for similar items in EconPapers)
Date: 2009-01-01, Revised 2009-01-01
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