Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

Basel sign in to follow this
regulatory sign in to follow this
capital sign in to follow this
market sign in to follow this
historical sign in to follow this
simulation sign in to follow this
standard sign in to follow this
model sign in to follow this
BIS sign in to follow this
Categories:

VaR Uses sign in to follow this
--Regulatory Requirements sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Market Risk and Capital Requirements for Banks - The Historical Simulation Method and the Standard M
Company: National Kaohsiung First University of Science and Technology
Year Of Publication: 2003
Month Of Publication: July
Pages: 44
Download Count: 992
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-8-2005
Publisher: Administrator
Summary
The purpose of this empirical study is to assess, on the basis of the 2001 BIS capital adequacy guidelines, the VaR and the capital requirement of a large bank in Taiwan, using the historical simulation method, and using the data of the actual fixed income securitiy foreign exchange and equity security holdings of the very bank. We examine how this self-developed model fare the bank if the proposed rules are put into operation. The model is then compared with the standard method, which is used by most of the bank to calculate market risk capital. The empirical result shows that the VaR calculated by the historical simulation method is substantially less than the captial requirement under the standard method.
Author(s)
Shu, Kuo-Feng Sign in to follow this author
Lin, Chu-hsiung Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile