HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)


Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

Theoretical and Applied Economics
No. 11 / 2011 (564)

Modeling the Market Risk in the Context of the Basel III Acord

Nicolae DARDAC
Bucharest Academy of Economic Studies
Bucharest Academy of Economic Studies

Abstract. Basel III revealed new aspects to be considered in terms of risk management and supervision of banking systems. Banks may use internal models to determine minimum capital requirements imposed by new regulations to be adopted gradually in the period 2013-2019. In this context, the implementation of internal models by banks, applying VaR or ES risk measures, is a challenge both in terms of continued growth in the number of methods used and the complexity of practical approaches. This study aims to estimate the market risk by VaR and ES risk measures using parametric methods, nonparametric and Monte Carlo simulations. There will also be implemented stress tests to assess the capital adequacy under stressed macroeconomic environment.

Keywords: VaR; ES; Monte Carlo simulations; GARCH models; kernel smoothing.

Download the full article:  


The Gnoseological Crisis
Marin Dinu

Open acces




The Economicity. The Epistemic Landscape, Marin Dinu, 2016


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail:

© 2006-2020 AGER