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Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial

Listed author(s):
  • Alan Cosme Rodrigues da Silva
  • João Maurício de Souza Moreira
  • Myriam Beatriz Eiras das Neves

This article evaluates ways of adapting the structure implemented by the Central Bank of Brasil to calculate capital requirements for market risk of fixed interest rates to transactions involving the USD interest rate in Brazil ( cupom cambial ). Changes to the volatility estimation procedure and to the multiplication factor are tested. A parametric VaR model based on EWMA and a non-parametric model based on empirical quantile are used as benchmarks. The results show that the adaptation is feasible if some modifications that accounts for the particularities of the cupom cambial term structure are introduced, especially the sensibility of short term rates to sudden changes in the expectation regarding the R$/USD exchange rate.

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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 111.

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Date of creation: Jul 2006
Handle: RePEc:bcb:wpaper:111
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