文章基本信息

标题：Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation
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作者：Marcos Roberto Gois de Oliveira ; Charles Ulises de Montreuil Carmona ; José Lamartine Távora Junior 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2006
卷号：4
期号：2
页码：181-202
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The objective of this paper was to analyze the risk management of a portfolio composed by Petrobras PN, Telemar PN and Vale do Rio Doce PNA stocks. It was verified if the modeling of Value-at-Risk (VaR) through the place Monte Carlo simulation with volatility of GARCH family is supported by hypothesis of efficient market. The results have shown that the statistic evaluation in inferior to dynamics, evidencing that the dynamic analysis supplies support to the hypothesis of efficient market of the Brazilian share holding market, in opposition of some empirical evidences. Also, it was verified that the GARCH models of volatility is enough to accommodate the variations of the shareholding Brazilian market, since the model is capable to accommodate the great dynamic of the Brazilian market.
其他摘要：The objective of this paper was to analyze the risk management of a portfolio composed by Petrobras PN, Telemar PN and Vale do Rio Doce PNA stocks. It was verified if the modeling of Value-at-Risk (VaR) through the place Monte Carlo simulation with volatility of GARCH family is supported by hypothesis of efficient market. The results have shown that the statistic evaluation in inferior to dynamics, evidencing that the dynamic analysis supplies support to the hypothesis of efficient market of the Brazilian share holding market, in opposition of some empirical evidences. Also, it was verified that the GARCH models of volatility is enough to accommodate the variations of the shareholding Brazilian market, since the model is capable to accommodate the great dynamic of the Brazilian market.
关键词：dynamic analysis;Monte Carlo simulation;value at risk;análise dinâmica;simulação de Monte Carlo;value at risk
其他关键词：Business; Statistics;dynamic analysis; Monte Carlo simulation; value at risk;G19; C15; G14