Minimum capital risk requirements: the UK experience

Christos Floros

    Research output: Contribution to journalArticlepeer-review


    This paper uses recent GARCH-type models for the calculation of minimum capital risk requirements (MCRRs). We use daily data from four indices of the UK stock market (FTSE 350, FTSE AIM, FTSE ACT 250, FTSE Techmark). Following Floros (2007), we calculate the MCRR for long and short positions over a 5-day, 10-day and 15-day horizon periods. The results show that higher capital requirements are necessary for a long position since a loss is more likely than for a short position.
    Original languageEnglish
    Pages (from-to)85-89
    Number of pages5
    JournalJournal of Money, Investment and Banking
    Publication statusPublished - 2008


    Dive into the research topics of 'Minimum capital risk requirements: the UK experience'. Together they form a unique fingerprint.

    Cite this