Since 2014
Risk Regulation in Brazil: A General Equilibrium Model
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Risk Regulation in Brazil: A General Equilibrium Model
Risk Regulation in Brazil: A General Equilibrium Model |
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| Creator |
Araújo, Aloísio Pessoa
Vicente, José Valentim M. |
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| Description |
In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover market and credit risks. The capital charge to cover market risk is a function of a metric known as Value-at-Risk (VaR). This paper investigates the consequences of such practices on prices, volatilities and bankruptcy probability by considering two features of the Brazilian framework: variable risk constraint multiplier and heterogeneous beliefs between financial institutions and regulating agencies.
In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover market and credit risks. The capital charge to cover market risk is a function of a metric known as Value-at-Risk (VaR). This paper investigates the consequences of such practices on prices, volatilities and bankruptcy probability by considering two features of the Brazilian framework: variable risk constraint multiplier and heterogeneous beliefs between financial institutions and regulating agencies. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2006-05-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2496
10.12660/bre.v26n12006.2496 |
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| Source |
Brazilian Review of Econometrics; Vol. 26 No. 1 (2006); 3-29
Brazilian Review of Econometrics; v. 26 n. 1 (2006); 3-29 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2496/1479
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