Avaliação de métodos de exigência de capital para risco de ações no Brasil

Abstract

RESUMOEste trabalho examina quatro métodos de determinação da exigência de capital para cobertura de risco de mercado de instituições financeiras, decorrente da exposição em ações e seus derivativos, excetuando-se o caso de opções. ABSTRACTThis paper analyses four methods of calculating capital requirements for coverage of market risk due to exposure in stocks and their derivatives, except options. For simulation purposes, two theoretical portfolios are created with assets that participate in the composition of Ibovespa. The methods evaluated follow the directives of the Basel Committee. The first is based on the standardized approach and the others, on the internal models approach based on the Value-atRisk (VaR) concept. The VaR methods evaluated are historical, Diagonal and the Riskmetrics TM approach. The backtesting of the methods follows the methodology suggested by the Committee. Additionally, for the methods based on VaR, it is applied the Kupiec test for proportion of failures. The relevance of the difference between the capital required and the verified losses is also considered. Although the historical method presents the best VaR performance, the best results with respect to the capital requirements belong to the Riskmetrics TM approach.