TEORIA DOS VALORES EXTREMOS: VALOR EM RISCO PARA ATIVOS DE RENDA-FIXA / EXTREME VALUE THEORY: VALUE AT RISK FOR FIXED-INCOME ASSETS

AUTOR(ES)

RENATO RANGEL LEAL DE CARVALHO

DATA DE PUBLICAÇÃO

2006

RESUMO

Since the 90 decade, the use of Value at Risk (VaR) methodology has been disseminated among both financial and non-financial institutions around the world, as a good practice in terms of risks management. In spite of the fact that it does not take into account one of the most important characteristics of financial assets returns distribution - fat tails (excess of kurtosis), the parametric approach is the most used method for Value at Risk measurement. The Extreme Value Theory (EVT) is an alternative method that could be used to avoid the underestimation of Value at Risk, properly modeling the characteristics of probability distribution tails. However, there are few works that applied EVT to fixed-income market. Based on that, this study implements a simple approach to VaR calculation, in which the Extreme Value Theory is applied to fixed-income assets.

ASSUNTO(S)

renda-fixa fixed-income valores extremos extreme value taxa de juros interest rates

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