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
A CDO consists of a portfolio of debt instruments such as bonds, loans and mortgages, which are grou...
To include models of financial decisions under uncertainty we need toextend the basic theory incorpo...
Este artículo trata la estimación del valor de la garantía de capital no negativo (NNEG) incluida e...
Drawing on the use of a very simple hypothetical example, this document illustrates how to apply the...
Drawing on the use of a very simple hypothetical example this document illustrates how to apply the ...
Drawing on the use of a very simple hypothetical example this document illustrates how to apply the ...
The Central Bank of Argentina (BCRA) introduced in September of 1996 a capital requirement for marke...
Con base en el modelo de Bergara y Licandro (2001), este trabajo estudia la relación entre las exige...
Through a study of potential scenarios that regularly face entities with long-term liabilities (Insu...
The value at risk _VaR_, is a measure that quantifies the risks faced by a given portfolio. There ar...
The Basel committee has proposed a New Capital Accord (NCA) which introduces a new methodology to ca...
El requerimiento de capital de solvencia (SCR) basado en el modelo estándar de la directiva Solvenci...
En este trabajo se propone una metodología de cuantificación del requerimiento de capital de los rie...
In this work the valuation methodology of compound option written on a downand- out call option, de...
Texto dispoñible en galego e españolA internacionalización empresarial confírelle unha gran relevanc...
A CDO consists of a portfolio of debt instruments such as bonds, loans and mortgages, which are grou...
To include models of financial decisions under uncertainty we need toextend the basic theory incorpo...
Este artículo trata la estimación del valor de la garantía de capital no negativo (NNEG) incluida e...
Drawing on the use of a very simple hypothetical example, this document illustrates how to apply the...
Drawing on the use of a very simple hypothetical example this document illustrates how to apply the ...
Drawing on the use of a very simple hypothetical example this document illustrates how to apply the ...
The Central Bank of Argentina (BCRA) introduced in September of 1996 a capital requirement for marke...
Con base en el modelo de Bergara y Licandro (2001), este trabajo estudia la relación entre las exige...
Through a study of potential scenarios that regularly face entities with long-term liabilities (Insu...
The value at risk _VaR_, is a measure that quantifies the risks faced by a given portfolio. There ar...
The Basel committee has proposed a New Capital Accord (NCA) which introduces a new methodology to ca...
El requerimiento de capital de solvencia (SCR) basado en el modelo estándar de la directiva Solvenci...
En este trabajo se propone una metodología de cuantificación del requerimiento de capital de los rie...
In this work the valuation methodology of compound option written on a downand- out call option, de...
Texto dispoñible en galego e españolA internacionalización empresarial confírelle unha gran relevanc...
A CDO consists of a portfolio of debt instruments such as bonds, loans and mortgages, which are grou...
To include models of financial decisions under uncertainty we need toextend the basic theory incorpo...
Este artículo trata la estimación del valor de la garantía de capital no negativo (NNEG) incluida e...