Resumen

ROSSIGNOLO, Adrián F.  y  ALVAREZ, Víctor A.. Has the basel committee got it right? Evidence from commodity positions in turmoil. Rev. mex. econ. finanz [online]. 2015, vol.10, n.1, pp.1-40. ISSN 2448-6795.

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 methodology embodied in the addition of the stressed-VaR component to the MCR, simultaneously maintaining the Simplified Approach available. However, while the IM is analogously calculated throughout the whole spectrum of assets, the fixed rate characteristic of the SA presents striking differences among them. Accordingly, as the Basel Committee classifies commodities as highly volatile assets, that flat SA percentage is almost doubled compared to those perceived to exhibit more stability. The present paper is aimed at ascertaining the adequacy of the two approaches -VaR-based IM and SA-for the determination of MCR for commodities exposures when turmoil hit portfolios. As opposed to the results verified for stock markets, the Basel Committee appears to be on the right track when ruling over appropriate MCR, as the SA seems able to avert likely bankruptcies originated in insufficient capital buffers. On the other hand, the leptokurtic VaR schemes tried in IM (mainly EVT) ratify their prowess, therefore raising concerns about the laxity of the regulations in those aspects. The moral hazard arising from the duality of methodologies results somewhat mitigated as the SA is increased twofold in comparison with the rest of the securities and accomplishes its declared mission, even though multiplication factors plugged in the IM expressions need to be reduced and dissociated in order to keep the accuracy incentives aligned. The outcome suggests relevant policy implications that may enable to dissipate any shadows of agency problems hidden in Basel II and Basel III directives.

Palabras llave : Value at Risk; Extreme Value Theory; Commodities; Capital Requirements; stressed VaR; Simplified Approach.

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