Avaliação de Métodos de Cálculo de Exigência de Capital para Risco Cambial

This paper examines models of capital requirement determination for financial institutions in order to cover market risk stemming from exposure to foreign currencies and gold. The models examined belong to two groups according to the approach involved: standardized and internal models. In the first group, we examine the Basel model and the model adopted by the Brazilian legislation, in two versions: before and after the change which enabled the offsetting of opposite positions in American Dollar, Euro, Sterling Pound, Yen, Swiss Franc and gold, implemented by Circular no. 3,217, of 12/19/2003,further modified by Circular no. 3,229, of 03/25/2004. In the second group, we consider the models based on the concept of value at risk (VaR). We analyze the single and double-window historical model, the exponential smoothing model (EWMA) and a hybrid approach that combines features of both models. The results suggest that the Basel model is inadequate to the Brazilian market, exhibiting a large number of exceptions. The model of the Brazilian legislation has no exceptions, though generating higher capital requirements than other internal models based on VaR, even with the changes introduced by Circular no. 3,229. In general, VaR-based models perform better and result in less capital allocation than the standardized approach model applied in Brazil.