Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

The changes in the Basel FRTB regulation come into effect in 2023 and will expose banking institutions to new challenges in terms of implementation, risk quantification and impacts on capital requirements. This paper first suggests an algorithm for implementing the FRTB standardised approach via...

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

The regulatory framework for assessing and risk measurement in most companies focuses primarily on proposals of the New Capital Accord (Basel II). The Basel Committee gives importance to the concept of operational risk and requires that financial institutions cover possible loses with capital....

The energy trading by means bilateral contracts of long-term in a market non standardized, causing a set of drawbacks as insufficient liquidity, lack transparency and complex clearance of accounts process. These factors have created the need of standardization contracts, as well and all...

Spanish Abstract: Este artículo presenta una aproximación metodológica para la cuantificación de posibles pérdidas económicas en el sector de producción de prendas de vestir, causadas por la volatilidad de las variables macroeconómicas: tasa representativa del mercado (TRM), índices de...

This paper presents a methodological approach to quantification of potential economic losses caused by the macroeconomic variables following: money exchange rate (TRM for its initials in Spanish), consumer price index (CPI), producer price index (PPI), fixed term deposits (DTF for its initials...

Since the 1990's there have been several proposals worldwide concerning environmental reporting, but few of them are related to environmental reporting through financial statements. Nowadays there is still a need for a proposal that encompasses key environmental concepts, underlying principles,...