Regulatory Capital For Market Risk
Mostrando 1-5 de 5 artigos, teses e dissertações.
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1. Mensuração do capital regulamentar para risco de mercado através das metologias VaR e Maturity Ladder : minimização das diferenças / Measurement of regulatory capital for market risk through VaR and Maturity Ladder methodologies : minimization of the differences
Para a existência de um sistema financeiro sólido e estável é essencial que as instituições financeiras gerenciem bem os seus riscos. A partir da publicação dos Acordos de Basileia, as autoridades supervisoras passaram a exigir a alocação de um capital regulamentar proporcional aos riscos incorridos por cada instituição. O capital regulamentar bu
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 29/06/2012
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2. Overview on the role of Sarbanes-Oxley Act of 2002 over the management of operational risk within brazilian financial corporations / Estudo da influência do Sarbanes-Oxley Act of 2002 sobre o gerenciamento do risco operacional em instituições financeiras brasileiras
Deregulation and globalization of financial services allied with the sophisticated technology used to perform financial operations have increased the complexity of banking activities resulting in the subsequent exposure of financial corporations to operational risk. Several cases of huge losses related to operational risk have been reported in the last 10 ye
Publicado em: 2008
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3. Análise jurídica do Segundo Acordo da Basiléia: a regulação do mercado bancário internacional por meio de instrumentos de soft law e sua legitimidade democrática
National and International Economic Policy are heavily influenced by Political Economy. The adoption of an Economic Policy model (within its instruments and the consequences that will rise from it) as the basis for regulation is a political activity. The pursue of specific goals in Economic Policy is not neutral and can not be considered the natural conseque
Publicado em: 2008
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4. 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
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 sp
Publicado em: 2007
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5. TRÊS ENSAIOS SOBRE A METODOLOGIA DE APREÇAMENTO DE ATIVOS UTILIZANDO OPÇÕES REAIS / THREE ESSAYS ON ASSET PRICING APPLYING REAL OPTIONS METHODOLOGY
The dissertation presents three economic essays examining situations where the real options approach can be useful in the definition of regulatory policies, investment strategies and pricing of sovereign risk. The first essay considers the new regulation oriented to interconnection costs of telecommunications networks and proposes adjustments in calculating
Publicado em: 2006