Medición de riesgo de mercado según los acuerdos de basilea: VaR, VaR en situaciones de estrés y pérdida esperada

• Autores: James Ming Chen
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 8, 2014, págs. 184-201
• Idioma: español
• Títulos paralelos:
  • Measuring market risk under the basel accords: VaR, stressed VaR, and expected shortfall
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Cada uno de los recientes acuerdos del Comité de Basilea sobre Regulación Bancaria, conocidos como Basilea II, 2.5 y III ha adoptado una medida primaria de riesgo en el ámbito de la regulación bancaria global: el tradicional valor en riesgo ( VaR), el VaR en situaciones de estrés y la pérdida esperada. Tras introducir los aspectos cuantitativos del VaR y la pérdida esperada, en este artículo se evalúa el grado en el que las reformas adoptadas por Basilea 2.5 y III� VaR en situaciones de estrés y pérdida esperada � han abordado las tradicionales preocupaciones regulatorias relativas al VaR. La pérdida esperada, que no el VaR, proporciona una medida coherente del riesgo. Por otra parte, el VaR, que no la pérdida esperada (o, para el caso, casi cualquier otra medida de riesgo espectral general), satisface los requisitos matemáticos de �elicitabilidad�. Las limitaciones matemáticas en las medidas de riesgo fuerzan, por tanto, a reguladores y banqueros a elegir entre coherencia y elicitabilidad, entre la consolidación teóricamente adecuada de diversos riesgos y las pruebas retrospectivas teóricamente fiables de previsiones de riesgo en base observaciones históricas

  • English

    Each of the most recent accords of the Basel Committee on Banking Regulation, known as Basel II, 2.5, and III, has embraced a different primary measure of market risk in global banking regulation: traditional value-at-risk (VaR), stressed VaR, and expected shortfall. After introducing the mathematics of VaR and expected shortfall, this article will evaluate how well the reforms embraced by Basel 2.5 and III � stressed VaR and expected shortfall � have addressed longstanding regulatory concerns with traditional VaR. Expected shortfall, but not VaR, provides a coherent measure of risk. On the other hand, VaR, but not expected shortfall (or, for that matter, nearly every other general spectral measure of risk), satisfies the mathematical requirement of �elicitability.� Mathematical limitations on measures of risk therefore force regulators and bankers to choose between coherence and elicitability, between theoretically sound consolidation of diverse risks and reliable backtesting of risk forecasts against historical observations.

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