Risk Parameters | B3

Risk Parameters | B3

Margin scenarios – CORE

Instruments groups parameters

Primitive Risk Factors

Standardizing Instruments Groups mapping

OTC Instruments Groups mapping

Methodological Summary of Risk Scenarios

CORE: Formulas and Mappings

Parameters of the risk model

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Directional shock scenarios for some risk ranges
Risk Factor
	2 days		5 days		10 days
	Low	Higth	Low	Higth	Low	Higth
Dollar	-0,12	0,12	-0,141	0,196	-0,153	0,245
Ibovespa	-0,15	0,15	-0,235	0,21	-0,27	0,23
Fixed rate 6 months	-120 bps	140 bps	-165 bps	175 bps	-225 bps	245 bps
Fixed rate 1 year	-140 bps	185 bps	-185 bps	250 bps	-274 bps	360 bps
Fixed rate 5 years	-190 bps	245 bps	-260 bps	370 bps	-370 bps	525 bps
Exchange coupon 6 months	-175 bps	300 bps	-195 bps	350 bps	-220 bps	420 bps
Exchange coupon 1 year	-155 bps	260 bps	-180 bps	300 bps	-200 bps	350 bps
Exchange coupon 5 years	-125 bps	180 bps	-170 bps	285 bps	-200 bps	350 bps