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Impact on the Sustainable Development Goals (SDGs)

Analysis of institutional authors

Juan Rafael Ruiz GómezAuthor

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Modelos VaR para calcular el capital mínimo regulatorio por riesgo de mercado

Publicated to:Papeles de Europa. 28 (1): 27-59 - 2015-01-01 28(1), DOI: 10.5209/rev_PADE.2015.v28.n1.50180

Authors: Stupariu, Patricia; Ruiz Gómez, Juan Rafael; Vilariño Sanz, Ángel

Affiliations

Universidad Complutense de Madrid - Author

Abstract

La revisión de la regulación del riesgo de mercado de Basilea III contempla reemplazar los modelos VaR con una nueva métrica para el cómputo de los requerimientos mínimos de capital. En este trabajo se calcularán los requerimientos de capital por riesgo de mercado para una cartera de acciones del índice S&P500, entre el periodo 2000-2014 en base a la metodología RiskMetrics y alternativamente con modelos GARCH(1,1). Los resultados obtenidos muestran que el capital regulatorio calculado en base a las normas de Basilea II cubre en todo momento las pérdidas de la cartera.

Keywords

Area studiesCiencias socialesEconomiaEconomics

Quality index

Bibliometric impact. Analysis of the contribution and dissemination channel

The work has been published in the journal Papeles de Europa due to its progression and the good impact it has achieved in recent years, according to the agency Dialnet (Dialnet Métricas). In the year of publication of the work, 2015, thus managing to position itself as a Q1 (Primer Cuartil).

Notably, the journal is positioned classified as C in other national agencies such as CIRC, classified as D by the agency AGUAR.

Independientemente del impacto esperado determinado por el canal de difusión, es importante destacar el impacto real observado de la propia aportación.

Según las diferentes agencias de indexación, el número de citas acumuladas por esta publicación hasta la fecha 2025-06-21:

  • Google Scholar: 1

Impact and social visibility

From the perspective of influence or social adoption, and based on metrics associated with mentions and interactions provided by agencies specializing in calculating the so-called "Alternative or Social Metrics," we can highlight as of 2025-06-21:

  • The use of this contribution in bookmarks, code forks, additions to favorite lists for recurrent reading, as well as general views, indicates that someone is using the publication as a basis for their current work. This may be a notable indicator of future more formal and academic citations. This claim is supported by the result of the "Capture" indicator, which yields a total of: 7 (PlumX).

It is essential to present evidence supporting full alignment with institutional principles and guidelines on Open Science and the Conservation and Dissemination of Intellectual Heritage. A clear example of this is:

  • The work has been submitted to a journal whose editorial policy allows open Open Access publication.
  • Additionally, the work has been submitted to a journal classified as Diamond in relation to this type of editorial policy.
Continuing with the social impact of the work, it is important to emphasize that, due to its content, it can be assigned to the area of interest of ODS 17 - Strengthen the means of implementation and revitalize the Global Partnership for Sustainable Development, with a probability of 49% according to the mBERT algorithm developed by Aurora University.