Estimación de los requerimientos de capital por riesgo de mercado

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorArango, Juan Pablo
dc.creatorArias, Mauricio
dc.creatorGómez-González, Esteban
dc.creatorSalamanca-Rojas, David M.
dc.creatorVásquez, Diego Mauricio
dc.date.accessioned2005-12-01T08:30:10Zeng
dc.date.available2015-12-06T08:30:10Zspa
dc.date.available2015-12-14T08:30:10Zspa
dc.date.available2017-10-24T08:30:10Zspa
dc.date.created2005-12-01spa
dc.date.issued2005-12eng
dc.descriptionPresenta metodologías que permiten medir y manejar el riesgo de los establecimientos de crédito en Colombia.spa
dc.description.abstractEntities and regulators alike are becoming more interested in measuring and the market risk (MR) associated with the trading book1 , given the growing share of investments comprising the financial system’s assets. The Office of the Superintendencia Bancaria (Banking Superintendency)2 in Colombia took an initial step in this direction in January 2002 when it set capital requirements based on MR. Nevertheless, this Law has come under fire lately, particularly concerning the suitability of the method used to measure and hedge exposure properly. In this respect, the objective of the present article is to present the results of MR estimates based on alternative methods for comparing and evaluating the usefulness of current requirements. The calculations presented herein refer to the standard model proposed by the Basel Committee and to the value-at-risk (VaR) models included in both the historic simulation method and the variance and covariance-based technique (EWMA approach) proposed by RiskMetrics.eng
dc.format.extent12 páginas : ilustraciones, tablasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2084spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2084spa
dc.language.isospaspa
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/tef.14spa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesTemas de Estabilidad Financieraspa
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 14spa
dc.relation.numbertef 14eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/014.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationBIS (1996). Amendment to the Capital Accord to Incorporate Market Risks, Comité sobre Regulación Bancaria, BIS, Basilea.spa
dc.source.bibliographicCitationBIS (2004). Principles for the Supervision of Interest Rate Risk; Comité sobre Regulación Bancaria, BIS, Basilea.spa
dc.source.bibliographicCitationBanco Central de Chile (2002). “Normas sobre relación de las operaciones activas y pasivas de los bancos y sociedades financieras”, en Compendio de normas financieras, capítulo III. B.2.spa
dc.source.handleRepecRePEc:bdr:temest:014spa
dc.subjectRiesgospa
dc.subjectCréditospa
dc.subjectPortafoliospa
dc.subjectMétodos de simulaciónspa
dc.subjectColombiaspa
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgageseng
dc.subject.jelG29 - Financial Institutions and Services: Othereng
dc.subject.jelD81 - Criteria for Decision-Making under Risk and Uncertaintyeng
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecasspa
dc.subject.jelspaG29 - Instituciones y servicios financieros: Otrosspa
dc.subject.jelspaD81 - Criterios para la toma de decisiones con riesgo e incertidumbrespa
dc.subject.keywordRiskeng
dc.subject.keywordCrediteng
dc.subject.keywordPortfolioeng
dc.subject.keywordSimulation methodseng
dc.subject.keywordColombiaeng
dc.subject.lembCapital de riesgo -- Evaluación -- Colombiaspa
dc.subject.lembRiesgo crediticio -- Evaluación -- Metodologíaspa
dc.subject.lembRiesgo crediticio -- Evaluación -- Colombiaspa
dc.titleEstimación de los requerimientos de capital por riesgo de mercadospa
dc.title.alternativeEstimate of capital requirements acording to market riskspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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