Risco de mercado segundo implementação do acordo de Basiléia no Brasiluma comparação da abordagem padronizada com métricas de VaR e Stress-Testing

Resumo

This work evaluates the regulatory capital required by Brazilian Central Bank (“BCB”) from financial institutions under its regulation, concerning the standard approach for marked risk, compared to alternative approaches commonly used by the financial industry, equivalent to VaR and Stress-Testing models. For a chosen group of risky assets (foreign currencies, stocks, stock indexes, commodities and interest rates), it was calculated the regulatory capital required by BCB under standard approach and compared to the estimated potential losses, according the alternative models. The results evidence a conservative position by BCB related to market risk of foreign currencies and interest rates, being more suitable for commodities and lenient for equities and their respective indexes. It is also possible to observe the existence of regulatory arbitrage, in which there is very low regulatory capital requirement (or no requirement) for certain risky assets portfolios.

Ficha do documento

Tipo

Dissertação

Ano

2017

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/19197

Temas

Economia

Palavras-chave

Market riskRegulatory capitalBasel accordRegulatory arbitrageRisco de mercadoCapital regulatórioAcordo de BasileiaArbitragem regulatóriaEconomiaRisco (Economia)Créditos - Avaliação de riscosCrédito bancárioBancos - Regulamentação