Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil

This paper analyses four methods of calculating capital requirements for coverage of market risk generated by exposure in stocks and their derivatives, except options. For simulation purposes, two theoretical portfolios were created with some assets that compose Ibovespa. The methods evaluated follow the directives of the Basel Committee. The first is based on the standardized approach and the others, on the approach of proprietary models based on the Value-at-Risk (VaR) concept. The backtesting of the methods follows the methodology suggested by the Committee. Additionally, the Kupiec test for proportion of failures is applied to the methods based on VaR.