Using data drawn from the Brazilian Central Bank Credit Information System, this paper evaluates the impact of the use of collateral on the probability of default and, consequently, on capital requirement levels in the Brazilian financial system. Literature suggests that the existence of...

This work seeks to analyze empirically the coherence of the VaR and the Expected Shortfall by the definition of Artzner et al. (1997) at the Brazilian Stock Market (Bovespa), calculated with three methodologies: the historical simulation, the analytical approach with EWMA volatility from...

This article evaluates ways of adapting the structure implemented by the Central Bank of Brasil to calculate capital requirements for market risk of fixed interest rates to transactions involving the USD interest rate in Brazil (<i>cupom cambial</i>). Changes to the volatility estimation procedure and...