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Claudio H. da S. Barbedo,Gustavo S. Araújo,João Maurício S. Moreira,Ricardo S. Maia Clemente
Pág. pp. 223 - 249
This paper examines capital requirement for financial institutions in order to cover market risk stemming from exposure to foreign currencies. The models examined belong to two groups according to the approach involved: standardized and internal models. ...
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