VaR models to calculate the minumun regulatory capital at market risk

VaR models to calculate the minumun regulatory capital at market risk

Blog Article

The undergoing overhaul of the Basel III market risk regulatory framework addresses the possibility of replacing VaR models with an alternative method for calculating minimum capital requirements.This natio glide on eyeshadow stick paper will calculate the regulatory capital for a hypothetical equity portfolio of 20 of the main stocks in the S&P500, between 2000 and 2014.The RiskMetrics methodology and GARCH(1,1) models are used to estimate volatilities, covariances and correlations.Our results show that chainsaw file the regulatory capital calculated using Basel II rules is at all times above realized portfolio losses.