Publication: Indicadores óptimos de consumo de capital en situaciones de crisis: análisis del comportamiento del Value at Risk por percentil y percentil ponderado
Loading...
Files
Official URL
Full text at PDC
Publication Date
2016-04-26
Authors
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad Complutense de Madrid
Citations
Exportar
Abstract
La inestabilidad de los mercados que se inició a mediados del año 2007, y que desencadenó los problemas que llevaron a una crisis económica mundial a partir del segundo semestre de 2008, hizo que se plantearan dudas sobre la utilidad de la medida de riesgos usada para evaluar el riesgo de las posiciones de la cartera de negociación, conocido como Value at Risk (VaR). Por ese motivo, el Comité de Basilea de Supervisión Bancaria (CBSB), máximo órgano mundial encargado de establecer las directrices de la reglamentación mundial bancaria, presentó en julio del año 2009 un conjunto de revisiones del marco de riesgo de mercado (“Basilea 2.5”) por el que se incrementaban los requerimientos regulatorios de consumo de capital. Además, se establecía un nuevo recargo al VaR llamado Stressed VaR (SVaR), definido como el VaR a 10 días al nivel de confianza del 99% y sobre una ventana temporal anual que recogiera un periodo significativo de estrés de los mercados relevante para las posiciones mantenidas en cartera...
The market volatility that began in mid-2007, which triggered the problems that led to a global economic crisis starting in the second half of 2008, raised doubts about the usefulness of the risk measure used to evaluate the risk of the positions of the trading portfolio, known as Value at Risk (VaR). For this reason, the Basel Committee on Banking Supervision (BCBS), the highest-ranked international body in charge of establishing guidelines for the global banking regulation, introduced in July 2009 a set of revisions to the framework of market risk ("Basel 2.5"), incrementing the trading book capital requirements. In addition, a new surcharge to the VaR called Stressed VaR (SVAR) was established. SVAR is defined as the 10-day, 99% confidence level VaR calculated over an annual time window containing a period of significant financial stress for the main markets in which trading book positons are held. In May 2012, the Basel Committee on Banking Supervision published the first consultation paper that reviewed the regulation on market risk in order to predict possible extreme events. The Committee argued that the Expected Shortfall (ES) does consider the risk of the tail of the distribution in a simple way, whereas the VaR does not...
The market volatility that began in mid-2007, which triggered the problems that led to a global economic crisis starting in the second half of 2008, raised doubts about the usefulness of the risk measure used to evaluate the risk of the positions of the trading portfolio, known as Value at Risk (VaR). For this reason, the Basel Committee on Banking Supervision (BCBS), the highest-ranked international body in charge of establishing guidelines for the global banking regulation, introduced in July 2009 a set of revisions to the framework of market risk ("Basel 2.5"), incrementing the trading book capital requirements. In addition, a new surcharge to the VaR called Stressed VaR (SVAR) was established. SVAR is defined as the 10-day, 99% confidence level VaR calculated over an annual time window containing a period of significant financial stress for the main markets in which trading book positons are held. In May 2012, the Basel Committee on Banking Supervision published the first consultation paper that reviewed the regulation on market risk in order to predict possible extreme events. The Committee argued that the Expected Shortfall (ES) does consider the risk of the tail of the distribution in a simple way, whereas the VaR does not...
Description
Tesis inédita de la Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Economía Financiera y Contabilidad III, leída el 14-12-2015