Theoretical and Applied Economics
No. 11 / 2011 (564)
Modeling the Market Risk in the Context of the Basel III Acord
Bucharest Academy of Economic Studies
Alina GRIGORE
Bucharest Academy of Economic Studies
Abstract. 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.
Contents
Modeling the Market Risk in the Context of the Basel III Acord
Public Relations as Promotional Activity
Forecast Intervals for Inflation in Romania
Brief Reflections on the Development of the FDI Theory
Early School Leaving: Reasons and Consequences
Impact of FDI and Trade Openness on Economic Growth: A Comparative Study of Pakistan and Malaysia
Dissolution of the Commercial Companies due to the Passing of Time Established as a Duration of the Company – Theoretical and Practical Aspects
National and Regional Competitiveness in the Crisis Context. Successful Examples
The Global Crisis and Cyclical Theory