Var ajustado por liquidez e seus impactos sobre o cálculo do requerimento de capital por risco de mercado / Liquidity-adjusted value-at-risk and its impact on regulatory capital for market risk

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

This paper applies the liquidity-adjusted value-at-risk based on the components of the bid-ask spread proposed by Angelidis &Benos (2005) on the Brazilian stock market. A group of stocks traded at BOVESPA are studied. Only half of them participate on the composition of the BOVESPA Index and correspond to more liquid equities. The components of the bid-ask spread are analyzed and the results suggests that trade direction may have more explanatory power than trade size. Total risk is decomposed into price risk and liquidity risk. The liquidity component represents the incremental opportunity cost on the liquidity adjustment, an indirect measure of the inferior liquidity cost. At the higher confidence level, represents 11,13% of total risk and for the 95% VaRL, increases to 22,22%. Finally, we present a discussion of the proposed model and its impact on regulatory capital for market risk

ASSUNTO(S)

liquidity-adjusted value-at-risk bid-ask spread var ajustado por liquidez requerimento de capital por risco de mercado microestrutura de mercado regulatory capital for market risk liquidity risk market microstructure bid-ask spread risco de liquidez economia

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