Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Ferreira, José Augusto Mazzoni Martins Ferreira"

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

Ferreira, José Augusto Mazzoni Martins Ferreira
2017-01-24

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 ...