Home  Journals  Finance and Credit  40(568) - 2013 October

Combined approach to assessment of economic capital on market risk: modern view

Available online: 30 October 2013

Subject Heading: Banking

JEL Classification: 

In the article the combined approach to an assessment of the economic capital on the market risk, based on the adapted probabilistic model (VaR-adapt) is realized. The combined approach assumes VaR definition by a delta and normal method, the Monte-Carlo method, including taking into account stressful conditions, having system impact, thus, on the integrated control system of bank risks. The special principles on which the integrated system of an assessment of market risk has to be based are formulated; the stages of realization of the combined approach in it are defined.

Keywords: the integrated system of an assessment of market risk, the economic capital on the market risk, the combined approach, the adapted probabilistic VaR model, a delta and normal method, the Monte-Carlo method, the stress testing, the expected losses which aren't expected losses

View all articles of issue

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 4 April 2024

Archive