Gerenciamento do risco de mercado baseado no Value at Risk estÃtico e dinÃmico para carteira de aÃÃes e opÃÃes negociadas na Bovespa / Actions stock market; Value at Risk (VaR)
AUTOR(ES)
Marcos Roberto Gois de Oliveira
DATA DE PUBLICAÇÃO
2005
RESUMO
This thesis approaches the riskâs administration of the market using Value at Risk (VaR), which became widely used technique for measuring future expected risk for both financial and non-financial institutions. The VaR measures the largest expected loss in given period of time that expected loss is depending of suppositions about the distribution of return of the risk factors. The efficiency market supposition is usually the reason for the lower effectiveness of the risk management models to the Brazilian market. However, the form how the efficiency market hypothesis is adapted in the prevision models and risk management is not well analyzed in the literature. The results are empiric papers not conclusive about the effectiveness of the VaRâs models applied to the Brazilian market. The objective of this work was the approach of the Brazilian market but without forget the efficiency market hypothesis. For that, it was made the dynamic incorporation of the market movement, that has (in the case of Brazilian market) high volatility, to VaRâs models. The success was achieved in the actionâs portfolios without drop the efficiency market hypothesis, but optionâs portfolios did not work successful. Show off that the efficiency market hypothesis is not sufficiency for that specific market. The VaR has been analyzed under several suppositions, among the models parametric and not parametric, in the most representative Brazilianâs actions stock market: Telemar PN, PetrobrÃs PN and Vale do Rio Doce PNA; and in the options more negotiated: the Telemar PN call options. The results have been showed that dynamic models VaR provide the necessary condition to satisfactory results VaR. This happened because of the incorporation velocity of new information in the model, ratifying the efficiency market hypothesis. Among the VaR models, what showed more appropriate was the Monte Carlo simulation with GARCH volatility. Of course, the task of managed sophisticated derivative, as options, should start for the correct pricing model of such derivatives. The precification model of Black &Scholes, in his original form, was not capable to predict the behavior of the options study object. An adjustment to the model, incorporating the bet of the investorâs leverage in option became the modeling of the risk to acceptable VaR
ASSUNTO(S)
mercado de aÃÃes value at risk (var) economia
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