"Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil "

Authors

  • Adrián F. Rossignolo Universidad de San Andrés Argentina, Universidad de Buenos Aires Argentina
  • Víctor A. Álvarez Universidad de San Andrés Argentina, Universidad de Buenos Aires Argentina

DOI:

https://doi.org/10.21919/remef.v10i1.64

Abstract

The harmful aftermaths of the 2008 financial crisis have urged the Basel Committee to tighten the regulations referred to the Minimum Capital Requirements. In this sense, the thorough revision of the market risk framework deriving in the newly enacted Basel III Capital Accord concluded with an important revamp of the Value-at-Risk based Internal Models methodol- ogy embodied in the addition of the stressed-VaR component to the MCR, simultaneously maintaining the Simplified Approach available.

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Published

2017-05-23

How to Cite

Rossignolo, A. F., & Álvarez, V. A. (2017). "Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil ". The Mexican Journal of Economics and Finance, 10(1). https://doi.org/10.21919/remef.v10i1.64

Issue

Section

Research and Review Articles

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