Market risk: comparative analysis of methods of mensuration of applied risk to the brazilian market / Risco de mercado: análise comparativa de métodos de mensuração de risco aplicado ao mercado brasileiro

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The present work search to analyze the behavior of the models of mensuration of market risk VaR and CVaR for in the Brazilian market of actions, calculated by the methodology of the historical simulation, GARCH, Riskmetrics and Normal. They were used as sample the data empiric of PETR4, TNLP4, VALE5, USIM5 and CSNA3, that understands the mail carrier of the Index of Bovespa five more liquid actions (Ibovespa) effective of January to April of 2006, with the closing prices embracing the period of 30/12/1998 to for 29/12/2005. All the methodologies were calculated for a α of 1% and 5%, using windows of 126 and 252 days. With the objective of testing the models the tests of Kupiec were used (unconditional), Christoffersen (conditional) and Berkowitz, and the test of Berkowitz was used for two cases, test of the tails of the distributions and test of density forecast.

ASSUNTO(S)

valor (economia) mercado financeiro gestão econômica de negócios conditional value-at-risk (cvar) market risk risco (economia) risco de mercado value-at-risk (var) value-at-risk (var) administração de risco - instituições financeiras conditional value-at-risk (cvar) economia

ACESSO AO ARTIGO

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