Academic Journals Database
Disseminating quality controlled scientific knowledge

Modeling the Market Risk in the Context of the Basel III Acord

Author(s): Nicolae DARDAC | Alina GRIGORE

Journal: Theoretical and Applied Economics
ISSN 1841-8678

Volume: 11(564);
Issue: 11(564);
Start page: 5;
Date: 2011;
VIEW PDF   PDF DOWNLOAD PDF   Download PDF Original page

Keywords: VaR | ES | Monte Carlo simulations | GARCH models | kernel smoothing.

Basel III revealed new aspects to be considered in terms of risk management and supervision of banking systems. Banks may use internal models to determine minimum capital requirements imposed by new regulations to be adopted gradually in the period 2013-2019. In this context, the implementation of internal models by banks, applying VaR or ES risk measures, is a challenge both in terms of continued growth in the number of methods used and the complexity of practical approaches. This study aims to estimate the market risk by VaR and ES risk measures using parametric methods, nonparametric and Monte Carlo simulations. There will also be implemented stress tests to assess the capital adequacy under stressed macroeconomic environment.
Save time & money - Smart Internet Solutions     

Tango Rapperswil
Tango Rapperswil