The Correlation Matrix of the Brazilian Central Bank's Standard Model for Interest Rate Market Risk

José Rodrigues-Neto

No 8, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: Central Bank of Brazil is implementing a Value At Risk (V.A.R.) methodology to establish minimum capital requirements for financial institutions to bear market risk derived from interest rate fluctuations. This article shows that the construction of the correlation matrix of the Brazilian Central Bank's Standard Model for Interest Rate is coherent, in the sense it is positive defined.

Date: 2000-09
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