Artículos relevantes relacionados con Riesgos de Mercado

Introduction to VaR (Value-at-Risk) – Zvi Wiener, 1997
«The concept of Value-at-Risk is described. We discuss how this risk characteristic can be used for supervision and for internal control. Several parametric and non-parametric methods to measure Value-at-Risk are discussed. […] Finally, we briefly discuss the backtesting procedure.»

A Review of Backtesting and Backtesting Procedures – Sean D. Campbell, 2005
«This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures.»

Efficient Monte Carlo Methods for Value-at-Risk – Paul Glasserman, Philip Heidelberger and Perwez Shahabuddin, 2000
«The calculation of value-at-risk (VAR) for large portfolios of complex derivative securities presents a tradeoff between speed and accuracy. […] In this article, we discuss methods for reducing the number of revaluations required through strategic sampling of scenarios.»

The Supervisory Treatment of Banks’ Market Risk – Stephanie Weston and Brian Gray, 1994
«This study assesses the efficacy of the Basel proposed methods for measuring risk and allocating capital to exposures from traded debt securities, traded equities and foreign exchange.»

Return to RiskMetrics: The Evolution of a Standard – Jorge Mina and Jerry Yi Xiao, 2001
«This document is an update and restatement of the mathematical models in the 1996 RiskMetrics Technical Document, now known as RiskMetrics Classic.»

Variance Reduction Techniques for Monte Carlo Estimates of Value at Risk – Brian Fuglsbjerg, 2000
«The sampling variance of Monte Carlo estimates of Value at Risk is reduced using Importance Sampling and Control Variates. […] The methods improve the variance reduction relative to the Importance Sampling and Stratified Sampling approach suggested by [Glasserman et al., 1999a].»

Non-parametric VaR techniques. Myths and Realities. – Giovanni Barone-Adesi and Kostas Giannopoulos, 2000
«VaR (Value at Risk) estimates are currently based on two main techniques, the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a new technique, filtered historical simulation, that is designed to remedy some of the shortcomings of the simulation approach.»

Filtering Historical Simulation. Backtest Analysis – Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper, 2000
«In this paper we backtest the FHS [Filtering Historical Simulation] VaR model on three types of portfoliosinvested over a period of two years.»

Identifying Stress Test Scenarios – Thomas Breuer and Gerald Krenn
«The usefulness of stress tests as risk management tool crucially depends on the choice of stress scenarios. […] Here we make two points: (1) We argue for the importance of taking into account portfolio characteristics when choosing stress scenarios, and (2) we compare four different methods in terms of the loss incurred by the resulting scenarios and the plausibility of these scenarios.»

Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual Non-Linear Portfolios: Empirical Evidence – María Coronado, 2000
«The purpose of this paper is to compare the different estimation methods of Value-at-Risk (VaR) as a market risk measurement of actual bank non-linear portfolios (specifically comprised of currency options) in the context of the supervision of bank solvency. The aim is to establish the best method given these specific circumstances.»

Analytical Value-at-Risk with Jumps and Credit Risk – Darrell Duffie and Jun Pan, 1999
«This paper provides an analytical method for computing value at risk, and other risk measures, for portfolios that may include options and other derivatives, with defaultable counterparties or borrowers.»

Risk Management in an Asset Management Company: a practical case – Dario Brandolini, Massimiliano Pallotta and Raffaele Zenti, 2000
«This article considers the differences between the meaning of risk management in a bank vs. that of an asset management company, illustrating the solution, from both a methodological and technological point of view.»

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes – Riccardo Rebonato and Peter Jäckel, 1999
«[In this paper] we present a method which: i) is guaranteed to produce a positive-semidefinite matrix; ii) does not require a pre-existing acceptable matrix to start with; iii) is fast to implement even for large matrices; iv) allows the determination of a feasible matrix that most closely approximates a target real symmetric (but not positive-semidefinite) matrix in a well-defined and quantifiable sense.»

 

Principales documentos regulatorios

Basel 2.5

Revisions to the Basel II market risk framework – BIS, Febrero 2011
Marco general de Basilea 2.5 que rige el cálculo actual de capital por Riesgos de Mercado.

Regulatory Consistency Assessment Programme (RCAP) – Second report on risk-weighted assets for market risk in the trading book – BIS, Diciembre 2013
Análisis de consistencia de requerimientos de capital basado en una cartera hipotética.

FINAL draft Regulatory Technical Standards on the Definition of Market – EBA, Diciembre 2013
Definición del término «mercado» para el cálculo del componente general de riesgo de mercado para equities.

 

FRTB

Minimum capital requirements for market risk (standards) – BIS, Enero 2016
Primera publicación del marco final de FRTB que define los estándares futuros para el cálculo de capital por Riesgos de Mercado.

Report results from the 2018 Market Risk Benchmarking Report – EBA Enero 2019
Ejercicio de benchmarking de la EBA del marco FRTB basado en una cartera hipotética.

Minimum capital requirements for market risk (standards) – BIS, Enero 2019 (mod. Febrero 2019)
Revisión del marco final de FRTB que define los estándares futuros para el cálculo de capital por Riesgos de Mercado.

 

CVA

Review of the Credit Valuation Adjustment Risk Framework (consultative document) – BIS, Julio 2015
Documento consultativo que introduce nuevos métodos de cálculos de capital por CVA vía métodos básico, estándar y avanzado.

Basel III: Finalising post crisis reform – BIS, Diciembre 2017
Este documento recoge, entre otros aspectos, el marco revisado para la medición de los requerimientos de capital por riesgo de CVA (método estándar apalancado en el método estándar de FRTB y eliminación de la posibilidad de adoptar enfoques internos de medición).