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

Author

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

Abstract

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.

Suggested Citation

  • Alan Cosme Rodrigues da Silva & João Maurício de Souza Moreira & Myriam Beatriz Eiras das Neves, 2006. "Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial," Working Papers Series 111, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:111
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    File URL: https://www.bcb.gov.br/pec/wps/port/wps111.pdf
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    Cited by:

    1. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear Mechanisms of the Exchange Rate Pass-Through: A Phillips Curve Model with Threshold for Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 64(3), September.
    2. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    3. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    4. Areosa, Waldyr Dutra & Areosa, Marta B.M., 2016. "The inequality channel of monetary transmission," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 214-230.
    5. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    6. repec:wsi:ijtafx:v:09:y:2006:i:08:n:s0219024906003974 is not listed on IDEAS
    7. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.
    8. Benjamin M. Tabak, 2006. "The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.

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