This paper examines models of capital requirement determination for financial institutions in order to cover market risk stemming from exposure to foreign currencies and gold. The models examined belong to two groups according to the approach involved: standardized and internal models. In the...

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...