Sensitivities-based method and expected shortfall for market risk under FRTB : its impact on options risk capital

ABSTRACT: Purpose: This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach: This paper first suggests an algorithm for implementing the...

Full description

Autores:

Grajales, Carlos Alexander
Medina Hurtado, Santiago

Tipo de recurso:

Article of investigation

Fecha de publicación:

2023

Institución:

Universidad de Antioquia

Repositorio:

Repositorio UdeA

Idioma:

eng

OAI Identifier:

oai:bibliotecadigital.udea.edu.co:10495/37935

Acceso en línea:

https://hdl.handle.net/10495/37935

Palabra clave:

Capital de riesgo
Venture capital
Riesgo (Finanzas)
Risk (finance)
Riesgo de mercado
Sensitivities-based method

Rights

openAccess

License

http://creativecommons.org/licenses/by-nc-nd/2.5/co/