Evaluation of Foreign Exchange Risk Capital Requirement Models
This paper examines capital requirement for financial institutions in order to cover market risk stemming from exposure to foreign currencies. The models examined belong to two groups according to the approach involved: standardized and internal models. In the first group, we study the Basel model a...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2005-12-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1151 |