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| − | top:0px;width:793px;height:70px'><img width=793 height=70 | + | top:0px;width:793px;height:70px'></span><br clear=ALL> |
| − | src="BAS%20-%20Calculo%20RBAN_arquivos/image001.gif"></span><br clear=ALL>
| + | |
| | <span lang=EN-US style='font-size:12.0pt;line-height:115%;font-family:"Verdana","sans-serif"; | | <span lang=EN-US style='font-size:12.0pt;line-height:115%;font-family:"Verdana","sans-serif"; |
| | color:#C00000'>Contas e Elementos envolvidos:</span></p> | | color:#C00000'>Contas e Elementos envolvidos:</span></p> |
<head>
<meta http-equiv=Content-Type content="text/html; charset=windows-1252">
<meta name=Generator content="Microsoft Word 12 (filtered)">
<style>
</style>
Contas e Elementos envolvidos:
§ Conta
890 e filhas 890.01.00, 890.10.01 a 890.99.01
§ Elementos
31 a 35
§ 31
- 1º Percentil
§ 32
- 99º Percentil
§ 33
- Ponto base 5%
§ 34
- Ponto base 10%
§ 35
- Ponto base 20%
Calculo dos valores:
As contas do RBAN são calculadas diariamente junto com
o calculo do DDR. As operações que compõe o RBAN são importadas junto com o
DDR, o que está dentro da carteira de negociação (trading) vai para o
calculo do PJUR 1,2,3 e 4 e o que está fora da carteira de negociação (banking)
vai para o calculo do RBAN.
Conforme instruções de preenchimento, o sistema só
calcula as contas cuja exposição referente ao fator de risco dela seja maior
que 5% do total das exposições. Ou seja, para calcular o valor da conta
890.10.01, cujo fator de risco é o "pré", o sistema só irá calcular o
valor e os elementos caso a exposição do risco pré fora da carteira seja
superior a 5% de todas as operações fora da carteira. Caso contrário o sistema
agrupa essa exposição na conta 890.99.01. Os fatores de risco JT9, JM9 e JI9
entram sempre na conta 890.99.01 por não terem conta específica. Caso a
exposição desses fatores de risco sejam superiores a 5% do total, então a
Instituição deve pedir ao BC para criar nova conta específica.
O valor calculado em cada conta filha do RBAN pode ser
calculado pela metodologia do VaR (a mesma utilizada no PJUR1, porém com outros
parâmetro) ou pela metodologia do Maturity Ladder (metodologia utilizada no
calculo dos PJUR 2,3 e 4). Para definir qual metodologia será utilizada e quais
os parâmetros, basta configurar as seguintes propriedades:
<img
width=465 height=348 id="Imagem 4"
src="BAS%20-%20Calculo%20RBAN_arquivos/image002.jpg">
No calculo da metodologia do VaR, o parametro Dias VaR
entram na formula abaixo substituindo a variável "D". Ele representa
o número de dias úteis considerados necessários para a liquidação da posição:
<img
width=353 height=76 id="Imagem 7"
src="BAS%20-%20Calculo%20RBAN_arquivos/image003.jpg">
Já o parâmetro Dias VaRMedio, entra na formula abaixo
substituindo a variável "M". Ele representa a quantidade de dias para
se calcular a média do VaR.
<img
width=345 height=99 id="Imagem 10"
src="BAS%20-%20Calculo%20RBAN_arquivos/image004.jpg">
Calculo dos Percentis e Pontos Base -
Metodologia 1 (Default):
Percentis:
Para calcular o 1º e 99º percentil o sistema precisa
primeiramente de uma base histórica do valor das taxas. Para isso temos a
tabela BASValorRiscoMercado que deve ser preenchida através de uma integração
com os dados históricos. Os campos dessa tabela são apenas 3: Codigo da taxa no
domínio Banco Central, Data e valor.
Tento a base histórica o sistema monta um vetor com os
seguintes valores:
<img
width=274 height=22 src="BAS%20-%20Calculo%20RBAN_arquivos/image005.gif">
Onde:
i -> Datas
P(j) -> posição j do
vetor
v(i) -> valor do índice
na data i
VlrExp -> Valor de
Exposição total do fator de risco na data base em questão
Após montar esse vetor, o sistema ordena ele por
valores (nesse momento a data não é mais importante). E pega o 1º e 99º percentil
desse vetor de valores.
O Valor de Exposição total do fator de risco na data
base em questão é o somatório das exposições alocadas nos vértices. Ou seja,
ela pode ser maior do que o somatório das operações caso as mesmas apresentem
um prazo superior a 2520 dias uteis. Essa soma é sempre as posições compradas
menos as vendidas (ou seja, leva o sinal em consideração).
Calculo dos Pontos Percentuais:
O sistema
executa uma conta simplista para calculo dos pontos percentuais de choques
paralelos de taxas de juros necessários para acarretar reduções do valor de
mercado das operações em 5%, 10% e 20% do valor do PR.
<img
width=142 height=39 src="BAS%20-%20Calculo%20RBAN_arquivos/image006.gif">
Onde
x
-> 5, 10 ou 20%
PR
-> Valor do PR
VlrExp
-> Valor de Exposição do fator de risco.
Calculo dos Percentis e Pontos Base -
Metodologia 2:
Percentis:
Para calcular o 1º e 99º percentil o sistema precisa
primeiramente de uma base histórica do valor das taxas. Para isso temos a
tabela BASValorRiscoMercado que deve ser preenchida através de uma integração
com os dados históricos. Os campos dessa tabela são apenas 3: Codigo da taxa no
domínio Banco Central, Data e valor.
Para essa metodologia é importante a base histórica
conter os valores dos indices para todos os dias uteis de cada ano, ou seja,
cada ano precisa ter 252 valores. Para considerar um período de manutenção de 1
ano o sistema monta o seguinte vetor:
<img
width=291 height=22 src="BAS%20-%20Calculo%20RBAN_arquivos/image007.gif">
Onde:
i -> Datas
P(j) -> posição j do vetor
v(i) -> valor do índice na data i
v(i<img width=98 height=20
src="BAS%20-%20Calculo%20RBAN_arquivos/image008.gif">) -> valor do índice na data i menos 252 dias uteis
Após montar esse vetor, o sistema ordena ele por
valores (nesse momento a data não é mais importante). E pega o 1º e 99º
percentil desse vetor de valores. Estamos chamando esses Percentis de PercentilTaxa.
Para calcular o 1º e 99º percentil que vai para o
documento o sistema executa a seguinte conta:
<img
width=387 height=56 src="BAS%20-%20Calculo%20RBAN_arquivos/image009.gif">
Onde:
Percentil(j) -> 1º Percentil ou 99º Percentil
VlrExp -> Somatório do valor das operações
do fator de risco
TxAtual -> Valor da taxa na data do
calculo
PercentilTaxa(j) -> 1º ou 99º Percentil calculado
pelo vetor inicial
Calculo dos Pontos Percentuais:
O sistema
executa uma conta simplista para calculo dos pontos percentuais de choques
paralelos de taxas de juros necessários para acarretar reduções do valor de
mercado das operações em 5%, 10% e 20% do valor do PR.
<img
width=300 height=40 src="BAS%20-%20Calculo%20RBAN_arquivos/image010.gif">
Onde:
x
->
5, 10 ou 20%
PR -> Valor do PR
VlrExp
->
Valor de Exposição do fator de risco
TxAtual -> Valor da taxa na data do
calculo
