文章基本信息

标题：Investigação empiríca da perda máxima calculada pelo VaR: comparação do VaR Delta-Normal em períodos de crise sistêmica com as perdas ocorridas no IBOVESPA
本地全文：下载
作者：Bruno Vinícius Ramos Fernandes ; Bruno Borges Cardozo ; Paulo Roberto Barbosa Lustosa 等
期刊名称：Análise
印刷版ISSN：1516-2680
电子版ISSN：1980-6302
出版年度：2012
卷号：22
期号：2
语种：Portuguese
出版社：Faculdade de Administra??o, Contabilidade e Economia, Pontifícia Universidade Católica do Rio Grande do Sul
摘要：Analysis of risks and knowledge are key parts to any institution in the financial market. With the evolution of science, new tools will be made available for the measurement of financial risk among the most used is the Value-at-Risk (Value at Risk or VaR). Another risk factor that has been occurring frequently are financial crises, or systemic, that change the behavior of the market. Given the importance of the tool and its varied calculation methodology, this study proposes to verify whether the VaR can correctly predict the maximum expected loss, and its relation to periods in which the occurrence of crises. Calculations were performed for the period January 1996 to September/2009, taking the Bovespa index as active and using the Delta-Normal VaR method. Based on the results was verified in quarterly and annual periods, the value at risk cannot correctly predict the maximum expected loss, especially in times of crisis, which had a higher margin of error, because the normal distribution does not model the results extremes obtained in real sample.
关键词：Risk. Value-at-Risk. Financial crisis. Maximum loss.;Risco. Value-at-Risk. Crise financeira. Perda máxima.