The Correlation Matrix of the Brazilian Central Bank's Standard Model for Interest Rate Market Risk
AbstractCentral Bank of Brazil is implementing a Value At Risk (V.A.R.) methodology to establish minimum capital requirements for financial institutions to bear market risk derived from interest rate fluctuations. This article shows that the construction of the correlation matrix of the Brazilian Central Bank's Standard Model for Interest Rate is coherent, in the sense it is positive defined.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 8.
Date of creation: Sep 2000
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Web page: http://www.bcb.gov.br/?english
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