Minimum capital risk requirements: the UK experience

Christos Floros

Research output: Contribution to journalArticlepeer-review

Abstract

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
Volume5
Publication statusPublished - 2008

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