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The Correlation Matrix of the Brazilian Central Bank's Standard Model for Interest Rate Market Risk

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  • José Alvaro Rodrigues Neto

Abstract

Central 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.

Suggested Citation

  • José Alvaro Rodrigues Neto, 2000. "The Correlation Matrix of the Brazilian Central Bank's Standard Model for Interest Rate Market Risk," Working Papers Series 8, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:8
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    File URL: http://www.bcb.gov.br/pec/wps/ingl/wps08.pdf
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