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• W3122125852 abstract "In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover market and credit risks. The capital charge to cover market risk is a function of a metric known as Value-at-Risk (VaR). This paper investigates the consequences of such practices on prices, volatilities and bankruptcy probability by considering two features of the Brazilian framework: variable risk constraint multiplier and heterogeneous beliefs between financial institutions and regulating agencies." @default.
• W3122125852 created "2021-02-01" @default.
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• W3122125852 date "2006-05-01" @default.
• W3122125852 modified "2023-10-16" @default.
• W3122125852 title "Risk Regulation in Brazil: A General Equilibrium Model" @default.
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• W3122125852 doi "https://doi.org/10.12660/bre.v26n12006.2496" @default.
• W3122125852 hasPublicationYear "2006" @default.
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