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Avaliacao de Metodos de Calculo de Exigencia de Capital para Risco de Mercado de Carteiras de Acoes
Company: Banco Central do Brasil
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: February
Pages: 66
Download Count: 1017
View Count: 7962
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-17-2003
Publisher: Administrator
Summary
Este trabalho examina quatro métodos de determina??o da exigência de capital para cobertura de risco de mercado de institui??es financeiras, decorrente da exposi??o em a??es e seus derivativos, excetuando-se o caso de op??es. Para as simula??es foram montadas duas carteiras teóricas com ativos que comp?em o Ibovespa. Os métodos avaliados seguem as orienta??es do Comitê de Basiléia, inserindo-se o primeiro método na abordagem padronizada e os demais na de modelos proprietários, que utilizam o conceito de Valor em Risco (VaR). A aferi??o dos métodos segue metodologia indicada por Basiléia. Adicionalmente, para os métodos baseados em VaR, é aplicado o teste de Kupiec para propor??o de falhas. O método Histórico obteve o melhor resultado para as estimativas do VaR diário, enquanto o método baseado em alisamento exponencial apresentou o melhor desempenho na determina??o da exigência de capital.

This paper analyses four methods of calculating capital requirements for coverage of market risk generated by exposure in stocks and their derivatives, except options. For simulation purposes, two theoretical portfolios were created with some assets that compose Ibovespa. The methods evaluated follow the directives of the Basel Committee. The first is based on the standardized approach and the others, on the approach of proprietary models based on the Value-at-Risk (VaR) concept. The backtesting of the methods follows the methodology suggested by the Committee. Additionally, the Kupiec test for proportion of failures is applied to the meth
Author(s)
Araujo, Gustavo S. Sign in to follow this author
Moreira, Joao Mauricio S. Sign in to follow this author
Maia Clemente, Ricardo S. Sign in to follow this author
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