Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro

Abstract

Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital requirements for financial institutions. However, there is a little agreement as to the methods for computing the capital requirements to cover strategic risks, so that, at the same time, speculative positions can be covered and risk-reducing transactions are not penalized. This article discusses various methods for the computation of capital requirements for stock option strategies in the Brazilian market. Six methods are analyzed according to the rules prescribed by the Basel Committee. One of the methods is standard, and the other five are based on Value at Risk concept.