简介：This paper uses a Value at Risk (VaR) approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank,as if their assets are subject to market risk.The Brazilian currency exchange swaps contracts (US$/Brazilian Reais) are submitted to a delta-normal VaR method,in order to evaluate the market risk of each swaps series,by modeling the variance of the daily returns, from August 1999 to January 2003.
简介：This paper uses a Value at Risk (VaR) approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank,as if their assets are subject to market risk.The Brazilian currency exchange swaps contracts (US$/Brazilian Reais) are submitted to a delta-normal VaR method,in order to evaluate the market risk of each swaps series,by modeling the variance of the daily returns, from August 1999 to January 2003.