Instrumentos de risco: aplicação no fundo de garantia por tempo de serviço: de setembro de 1995 a abril de 2005

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

This dissertation objects to investigate behavior of FGTS, through of the results reached with the application the differents models to estimate the volatility of Net Patrimony of FGTS.The capacity risk assessment of exposition is relation with getting volatility and its compliance a many tecnics of model, how: Value at Risk VaR, modeling of the variables in time, how exponentially weighted moving average EWMA and Generalized Autoregressive Heteroscedasticity GARCH and modeling adaptation VaR through of use Tsallis distribution.This dissertation revises the source of VaR and to demonstrate the compliance or not, of the models how EWMA and GARCH and finish with the use of the VaR to match with Tsallis distribution.

ASSUNTO(S)

economia monetaria e fiscal seguro social risco (economia) fundo de garantia do tempo de serviço

ACESSO AO ARTIGO

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