<?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>S1665-53462019000500559</article-id>
<article-id pub-id-type="doi">10.21919/remef.v14i0.423</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market]]></article-title>
<article-title xml:lang="es"><![CDATA[Basilea IV Un futuro sombrío para los modelos de riesgo de déficit esperado. Evidencia del mercado de valores mexicano]]></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-group>
<aff id="Af1">
<institution><![CDATA[,University of Leicester  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>United Kingdom</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2019</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2019</year>
</pub-date>
<volume>14</volume>
<numero>spe</numero>
<fpage>559</fpage>
<lpage>582</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462019000500559&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462019000500559&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462019000500559&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract To determine the sufficiency of Minimum Capital Requirements (MCR) in Basel IV during financial crises in the Mexican stock market, the paper performs a structural simulation encompassing both the Standardised (SA) and Internal Models Approach (IMA) employing different modelling techniques. The study finds an excessive increase in MCR even in abnormal slumps, furthermore stressing that SA establishes a high floor and only super-leptokurtic models are able to pass its stringent validation standards.Therefore, it is recommended that elements in SA be adaptable to avoid unnecessary capital largeness and the evaluation of the IMA and its interaction with SA revised. Although the outcomes strongly suggest the need to perform adjustments in the regulations, further tests on more markets could help bolster the results, despite the study ranking among the first to assess the adequacy and interplay between Basel IV&#8217;s two approaches in Latin American emerging markets. The upshot indicates that Basel IV renders high MCR even for huge falls, placing models at a disadvantage and discouraging its use. The adoption of flexible calibration parameters would align both avenues, facilitating its application.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen A fin de determinar la suficiencia de los Capitales Mínimos Regulatorios (MCR) de Basilea IV durante crisis financieras en el mercado mexicano, se propone una simulación estructural que abarca los enfoques Estandarizado (SA) y de Modelos Internos(IMA) basada en diversas técnicas. La investigación encuentra un incremento excesivo en MCR aún en situaciones de desplomes, enfatizando que SA establece mínimos elevados, mientras que solamente los modelos ultra-leptokúrticos superan las exigentes pruebas de validación. Se recomienda adaptar los parámetros de SA a diversos escenarios, de este modo evitando innecesaria sobreconstitución de capital y, posteriormente, revisar la evaluación de IMA y su interacción con SA. Aunque los resultados detectan la necesidad de ajustes en la normativa, pruebas adicionales en más mercados podrían reforzar las derivaciones, aún considerando que el artículo se encuentra entre los pioneros al momento de analizar el comportamiento y la relación SA-IMA en los mercados emergentes latinoamericanos. Basilea IV entrega altos MCR, incluso en movimientos anormales, colocando a IMA en desventaja y desalentando su desarrollo. La adopción de coeficientes de calibración flexibles alinearía ambos enfoques, allanandosu aplicación.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Basel IV]]></kwd>
<kwd lng="en"><![CDATA[Capital Requirements]]></kwd>
<kwd lng="en"><![CDATA[Standardised Approach]]></kwd>
<kwd lng="en"><![CDATA[Internal Model Approach]]></kwd>
<kwd lng="es"><![CDATA[Basilea IV]]></kwd>
<kwd lng="es"><![CDATA[Requerimentos de Capital]]></kwd>
<kwd lng="es"><![CDATA[Enfoque estandarizado]]></kwd>
<kwd lng="es"><![CDATA[Enfoque de modelo interno]]></kwd>
</kwd-group>
</article-meta>
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