Avaliação de Modelos de Cálculo de Exigência de Capital para Risco Cambial

This paper examines capital requirement for financial institutions inorder to cover market risk stemming from exposure to foreign currencies. Themodels examined belong to two groups according to the approach involved:standardized and internal models. In the first group, we study the Baselmodel and the model adopted by the Brazilian legislation. In the secondgroup, we consider the models based on the concept of value at risk (VaR).We analyze the single and the double-window historical model, theexponential smoothing model (EWMA) and a hybrid approach that combinesfeatures of both models. The results suggest that the Basel model isinadequate to the Brazilian market, exhibiting a large number of exceptions.The model of the Brazilian legislation has no exceptions, though generatinghigher capital requirements than other internal models based on VaR. Ingeneral, VaR-based models perform better and result in less capitalallocation than the standardized approach model applied in Brazil.