Estudo comparativo dos modelos de value-at-risk para instrumentos pré-fixados. / A comparative study of value-at-risk models for fixed rate instruments.

AUTOR(ES)

Paulo Kwok Shaw Sain

DATA DE PUBLICAÇÃO

2001

RESUMO

Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation, this study also extends briefly to the model adopted by the Brazilian Central Bank. Additionally, the underlying assumptions of these models are analyzed in the Brazilian financial market context. Also, this study discusses the advantages and disadvantages presented by the RiskMetrics and the Historical Simulation models.

ASSUNTO(S)

fixed income value-at-risk risco de mercado market risk renda fixa

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