<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462015000100001</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Has the basel committee got it right? Evidence from commodity positions in turmoil]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rossignolo]]></surname>
<given-names><![CDATA[Adrián F.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Álvarez]]></surname>
<given-names><![CDATA[Víctor A.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de San Andrés  ]]></institution>
<addr-line><![CDATA[Buenos Aires ]]></addr-line>
<country>AR</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad de Buenos Aires  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>AR</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2015</year>
</pub-date>
<volume>10</volume>
<numero>1</numero>
<fpage>1</fpage>
<lpage>40</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462015000100001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462015000100001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462015000100001&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[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.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Las secuelas perjudiciales de la crisis financiera de 2008 han instado al Comité de Basilea para apretar las regulaciones referidas a los requisitos de capital mínimo. En este sentido, la revisión a fondo del marco de riesgo de mercado derivado de los convenios de Basilea III- Acuerdo de Capital promulgado recientemente concluyó con una renovación importante de la metodología de modelos internos de valor en riesgo basado en la adición del componente-VaR estresado al MCR, manteniendo al mismo tiempo el enfoque simplificado disponible. Sin embargo, mientras que el IM se calcula de manera análoga a lo largo de toda la vida de los activos, la característica de tipo de interés fijo del SA presenta notables diferencias entre ellos. En consecuencia, el Comité de Basilea clasifica los productos básicos como activos altamente volátiles, ese porcentaje SA plana es casi el doble en comparación con aquellos que son percibidos a exhibir una mayor estabilidad en IM basado en VAR. El presente trabajo tiene por objeto conocer la adecuación de los dos enfoques y SA-para la determinación de MCR para exposiciones de los productos cuando las carteras sufren choques. A diferencia de los resultados observados por los mercados de valores, el Comité de Basilea parece estar en el camino correcto cuando se pronuncia sobre MCR como apropiado, ya que el SA parece capaz de evitar posibles quiebras debido a las reservas de capital suficientes. Por otro lado, los esquemas de VaR leptocúrticas probado en IM (principalmente EVT) ratifican su eficacia, por lo tanto, aumentando las preocupaciones acerca de la laxitud de las regulaciones en esos aspectos. El riesgo moral derivado de la dualidad de metodologías ha resultado algo mitigado por el SA que se ha duplicado en comparación con el resto de los valores y cumple su misión, a pesar de que los factores de multiplicación inherentes en el IM deben ser reducidos con el fin de mantener los incentivos de precisión alineados. El resultado sugiere implicaciones políticas pertinentes que pueden permitir disipar cualquier sombra de los problemas de agencia ocultos en las directrices de Basilea II y Basilea III.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Value at Risk]]></kwd>
<kwd lng="en"><![CDATA[Extreme Value Theory]]></kwd>
<kwd lng="en"><![CDATA[Commodities]]></kwd>
<kwd lng="en"><![CDATA[Capital Requirements]]></kwd>
<kwd lng="en"><![CDATA[stressed VaR]]></kwd>
<kwd lng="en"><![CDATA[Simplified Approach]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Alexander]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Market Models: A Guide to Financial Data Analysis]]></source>
<year>2001</year>
<publisher-loc><![CDATA[Southern Gate, Chichester, West Sussex, United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons Ltd.]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Alexander]]></surname>
<given-names><![CDATA[C]]></given-names>
</name>
</person-group>
<source><![CDATA[Market Risk Analysis Volume II: Practical Financial Econometrics]]></source>
<year>2008</year>
<publisher-loc><![CDATA[The Atrium, Southern Gate, Chichester, West Sussex, United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons Ltd.]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Algieri]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Price Volatility, Speculation and Excessive Speculation in Commodity Markets: sheep or shepherd behaviour?]]></source>
<year>2012</year>
<page-range>37</page-range><publisher-loc><![CDATA[Bonn, Germany ]]></publisher-loc>
<publisher-name><![CDATA[Zentrum für Entwicklungsforschung Center for Development Research, University of Bonn]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Andersen]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Bollersle]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[International Economic Review]]></source>
<year>1988</year>
<volume>39</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>885-905</page-range><publisher-name><![CDATA[Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="book">
<collab>Basel Committee on Banking Supervision</collab>
<source><![CDATA[Amendment to the Capital Accord to Incorporate Market Risks]]></source>
<year>1996</year>
<publisher-loc><![CDATA[Basel, Switzerland ]]></publisher-loc>
<publisher-name><![CDATA[Bank for International Settlements]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="book">
<collab>Basel Committee on Banking Supervision</collab>
<source><![CDATA[International Convergence on Capital Measurement and Capital Standards]]></source>
<year>2004</year>
<publisher-loc><![CDATA[Basel, Switzerland ]]></publisher-loc>
<publisher-name><![CDATA[Bank for International Settlements]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="book">
<collab>Basel Committee on Banking Supervision</collab>
<source><![CDATA[International Convergence on Capital Measurement and Capital Standards. A Revised Framework. Comprehensive Version]]></source>
<year>2006</year>
<publisher-loc><![CDATA[Basel, Switzerland ]]></publisher-loc>
<publisher-name><![CDATA[Bank for International Settlements]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="book">
<collab>Basel Committee on Banking Supervision</collab>
<source><![CDATA[Revisions to the Basel II market risk framework]]></source>
<year>2009</year>
<publisher-loc><![CDATA[Basel, Switzerland ]]></publisher-loc>
<publisher-name><![CDATA[Bank for International Settlements]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Generalized Autoregressive Conditional Heteroskedasticity]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bollerslev]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1986</year>
<volume>31</volume>
<page-range>307-27</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brooks]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Clare]]></surname>
<given-names><![CDATA[A. D.]]></given-names>
</name>
<name>
<surname><![CDATA[Persand]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[An EVT Approach to Calculating Risk Capital Requirements, Discussion Papers in Finance 2000-2007]]></source>
<year>2000</year>
<publisher-loc><![CDATA[United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[ISMA Centre, University of Reading, Reading]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Christoffersen]]></surname>
<given-names><![CDATA[P. F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Elements of Financial Risk Management]]></source>
<year>2003</year>
<publisher-loc><![CDATA[Philadelphia, United States ]]></publisher-loc>
<publisher-name><![CDATA[Academic Press, Elsevier Science]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Estimation Risk in Financial Risk Management]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Christoffersen]]></surname>
<given-names><![CDATA[P. F.]]></given-names>
</name>
<name>
<surname><![CDATA[Goncalves]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Risk]]></source>
<year>2005</year>
<volume>7</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>1-28</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Derivatives, volatility and price discovery]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cohen]]></surname>
<given-names><![CDATA[B. H.]]></given-names>
</name>
</person-group>
<source><![CDATA[International Finance]]></source>
<year>1999</year>
<volume>2</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>167-202</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Coles]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[An Introduction to Statistical Modeling of Extreme Values]]></source>
<year>2001</year>
<publisher-loc><![CDATA[London, United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[Springer Verlag]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="book">
<collab>Centre for the Study of Financial Innovation</collab>
<collab>Price Waterhouse Coopers</collab>
<source><![CDATA[Banking Banana Skins 2014: Inching towards recovery]]></source>
<year>2014</year>
<publisher-loc><![CDATA[London, United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[Centre for the Study of Financial Innovation]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The Emperor has no clothes: Limits to risk modelling]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Danielsson]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>2002</year>
<volume>26</volume>
<numero>7</numero>
<issue>7</issue>
<page-range>1273-96</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[On time-scaling and the square-root-of-time rule]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Danielsson]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Zigrand]]></surname>
<given-names><![CDATA[J. P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>2006</year>
<volume>30</volume>
<numero>10</numero>
<issue>10</issue>
<page-range>2701-13</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Danielsson]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Hartmann]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[de Vries]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Cost of Conservatism: Extreme Value Returns, Value-at-Risk, and the Basle 'Multiplication Factor', Risk, 11]]></source>
<year>1998</year>
<page-range>101- 113</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dowd]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Beyond Value at Risk: the new science of risk management, Wiley series in Frontiers in Finance]]></source>
<year>1998</year>
<publisher-loc><![CDATA[Southern Gate, Chichester, West Sussex, United Kingdom ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons Ltd]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Dowd]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Measuring Market Risk]]></source>
<year>2005</year>
<edition>Second</edition>
<publisher-loc><![CDATA[Chichester ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons Ltd]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Embrechts]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Klüppelberg]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Mikosch]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Modelling Extremal Events for Insurance and Finance]]></source>
<year>1997</year>
<publisher-loc><![CDATA[Berlin Heidelberg, Berlin, Germany ]]></publisher-loc>
<publisher-name><![CDATA[Springer-Verlag]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Engle]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Bollerslev]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
<name>
<surname><![CDATA[Nelson]]></surname>
<given-names><![CDATA[D. B.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[ARCH Models]]></article-title>
<person-group person-group-type="editor">
<name>
<surname><![CDATA[Engle]]></surname>
<given-names><![CDATA[R]]></given-names>
</name>
<name>
<surname><![CDATA[McFadden]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Handbook of Econometrics]]></source>
<year>1994</year>
<volume>IV</volume>
<page-range>2959-3038</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Finger]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[How Historical Simulation made me lazy, in April 2006 Research Monthly]]></source>
<year>2006</year>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
<publisher-name><![CDATA[RiskMetrics Group]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[SAFEX maize price volatility scrutinised]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Geyser]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Cutts]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Agrekon]]></source>
<year>2007</year>
<volume>46</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>291-305</page-range></nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hull]]></surname>
<given-names><![CDATA[J. C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Options, Futures and Other Derivatives]]></source>
<year>1997</year>
<publisher-loc><![CDATA[New Jersey, United States ]]></publisher-loc>
<publisher-name><![CDATA[Prentice Hall]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Testing for Differences in the Tails of Stock-Market returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jondeau]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Rockinger]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>2003</year>
<volume>10</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>559-81</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jorion]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Value-at-Risk: The New Benchmark for Controlling Market Risk]]></source>
<year>1996</year>
<publisher-loc><![CDATA[Irwin, Chicago, United States ]]></publisher-loc>
</nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="">
<collab>JP Morgan and Reuters</collab>
<source><![CDATA[RiskMetrics Technical Document]]></source>
<year>1996</year>
<edition>Fourth</edition>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
</nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kroner]]></surname>
<given-names><![CDATA[K. F.]]></given-names>
</name>
<name>
<surname><![CDATA[Kneafsey]]></surname>
<given-names><![CDATA[D. P.]]></given-names>
</name>
<name>
<surname><![CDATA[Claessens]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Forecasting Volatility in Commodity Markets]]></source>
<year>1993</year>
<publisher-loc><![CDATA[Washington DC, United States ]]></publisher-loc>
<publisher-name><![CDATA[The World Bank, International Economics Department]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Manganelli]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Engle]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<source><![CDATA[VaR Models in Finance]]></source>
<year>2001</year>
<publisher-loc><![CDATA[Frankfurt, Germany ]]></publisher-loc>
<publisher-name><![CDATA[European Central Bank]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B31">
<nlm-citation citation-type="book">
<collab>McKinsey &amp; CO.</collab>
<source><![CDATA[Resource Revolution: Tracking global commodity markets]]></source>
<year>2013</year>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
<publisher-name><![CDATA[McKinsey Global Institute]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B32">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Mcneil]]></surname>
<given-names><![CDATA[A. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Saladin]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Peaks-Over-Thresholds Method for Estimat- ing high Quantiles of Loss Distributions]]></source>
<year>1997</year>
<conf-name><![CDATA[ 28thInternational ASTIN Colloquium]]></conf-name>
<conf-loc>North Queensland, Australia </conf-loc>
</nlm-citation>
</ref>
<ref id="B33">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[McNeil]]></surname>
<given-names><![CDATA[A. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Frey]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Embrechts]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Quantitative Risk Management: Concepts, Techniques and Tools]]></source>
<year>2005</year>
<publisher-loc><![CDATA[Princeton, New Jersey, United States ]]></publisher-loc>
<publisher-name><![CDATA[Princeton University Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B34">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Conditional Heteroskedasticity in Asset Returns: A New Approach]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Nelson]]></surname>
<given-names><![CDATA[D. B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Econometrica]]></source>
<year>1991</year>
<volume>59</volume>
<page-range>347-70</page-range></nlm-citation>
</ref>
<ref id="B35">
<nlm-citation citation-type="">
<collab>Osteirrischische National Bank</collab>
<source><![CDATA[Stress Testing. Guidelines on Market Risk]]></source>
<year>1999</year>
<publisher-loc><![CDATA[Vienna, Austria ]]></publisher-loc>
</nlm-citation>
</ref>
<ref id="B36">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Penza]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Bansal]]></surname>
<given-names><![CDATA[V. K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Measuring Market Risk with Value-at-Risk]]></source>
<year>2001</year>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons Ltd.]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B37">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Prescott]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Precommitment Approach in a Model of Regulatory Banking Capital, Economic Quarterly]]></source>
<year>1997</year>
<publisher-loc><![CDATA[Virginia, United States ]]></publisher-loc>
<publisher-name><![CDATA[Federal Reserve Bank of Richmond]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B38">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Pritsker]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Hidden Dangers of Historical Simulation]]></source>
<year>2001</year>
<publisher-loc><![CDATA[Washington DC, United States ]]></publisher-loc>
<publisher-name><![CDATA[The Federal Reserve Board]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B39">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Reiss]]></surname>
<given-names><![CDATA[R.-D.]]></given-names>
</name>
<name>
<surname><![CDATA[Thomas]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields]]></source>
<year>2007</year>
<publisher-loc><![CDATA[Berlin, Germany ]]></publisher-loc>
<publisher-name><![CDATA[Birkhäuser Verlag, AG]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B40">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Three Cheers]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Stahl]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Risk]]></source>
<year>1997</year>
<volume>10</volume>
<page-range>67-9</page-range></nlm-citation>
</ref>
<ref id="B41">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Taleb]]></surname>
<given-names><![CDATA[N. N.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Black Swan: The Impact of the Highly Improbable]]></source>
<year>2007</year>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
<publisher-name><![CDATA[Random House]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B42">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Taylor]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Modeling Financial Time Series]]></source>
<year>1986</year>
<publisher-loc><![CDATA[New York, United States ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B43">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Valenzuela]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Martin]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Anderson]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Relative Importance of Global Agricultural Subsidies and Market Access]]></source>
<year>2006</year>
<publisher-loc><![CDATA[Washington DC, United States ]]></publisher-loc>
<publisher-name><![CDATA[The World Bank]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B44">
<nlm-citation citation-type="book">
<collab>The World Bank</collab>
<source><![CDATA[Commodity Markets Outlook]]></source>
<year>2013</year>
<publisher-loc><![CDATA[Washington DC, United States ]]></publisher-loc>
<publisher-name><![CDATA[The World Bank]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B45">
<nlm-citation citation-type="book">
<collab>The World Bank</collab>
<source><![CDATA[Commodity Markets Outlook]]></source>
<year>2014</year>
<publisher-loc><![CDATA[Washington DC, United States ]]></publisher-loc>
<publisher-name><![CDATA[Global Economic Prospect Series]]></publisher-name>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
