IDEAS home Printed from https://ideas.repec.org/p/bcb/wpaper/67.html
   My bibliography  Save this paper

Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil

Author

Listed:
  • Gustavo S. Araújo
  • João Maurício S. Moreira
  • Ricardo S. Maia Clemente

Abstract

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 methods based on VaR.

Suggested Citation

  • Gustavo S. Araújo & João Maurício S. Moreira & Ricardo S. Maia Clemente, 2003. "Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil," Working Papers Series 67, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:67
    as

    Download full text from publisher

    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps67.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:67. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rodrigo Barbone Gonzalez (email available below). General contact details of provider: https://www.bcb.gov.br/en .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.