Perdas extremas em mercados de risco

Arraes, Ronaldo A.; Rocha, Alane Siqueira

doi:10.1590/s1519-70772006000300003

Cited by 3 publications

(2 citation statements)

References 2 publications

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“…Brazilian and international empirical studies such as Cassettari ( 2001), Leal and Ribeiro (2002) and Arraes and Rocha (2006) show that financial asset returns demonstrate asymmetry and kurtosis, and therefore, VaR with a normal distribution is not the most appropriate method. H6 will test whether the methods suggested by empirical studies in academia are the most frequently used by practitioners but will focus on return distributions: H6.…”

Section: Distribution Of Returnsmentioning

confidence: 99%

Portfolio construction and risk management: theory versus practice

Lee

Eid

2018

RAUSP

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Purpose This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil. Design/methodology/approach The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions. Findings The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings. Originality/value This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners.

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Section: Distribution Of Returnsmentioning

confidence: 99%

Portfolio construction and risk management: theory versus practice

Lee

Eid

2018

RAUSP

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“…where λ E is the forgetting factor with default value λ E = 0.94. Further, VaR estimates were also obtained using the Extreme Value Theory, particularly using the Generalized Extreme Value distribution (GEV), which only used a set of maximum values detected in the sample data in estimating the pdf of expected maximum losses, as in the work of [6], calculated as:…”

Section: Var Estimation Benchmarksmentioning

confidence: 99%

An evolving possibilistic fuzzy modeling approach for Value-at-Risk estimation

Maciel

Ballini

Gomide

2017

Applied Soft Computing

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Market risk exposure plays a key role for financial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incur when the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of financial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

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Avaliação de retornos e riscos na comercialização de milho: estudo de caso usando value-at-risk

Moreira

Souza

Duclós

2014

Rev. Econ. Sociol. Rural

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Em cada um dos elos da cadeia produtiva do agronegócio, encontrar estratégias viáveis para mitigação de riscos não é uma tarefa trivial. Usualmente são adotadas estratégias genéricas de redução do risco pela diversificação de culturas e/ou estratégias que objetivam a transferência ou diluição do risco por meio de seguros e contratos futuros. Este artigo tem por objetivo avaliar retornos e riscos de três estratégias de comercialização do milho: compra e venda simultânea, estocagem e venda a descoberto. A pesquisa é descritiva quanto ao seu objetivo, estudo de caso quanto à abordagem do problema e documental quanto ao procedimento de coleta de dados, com período de abrangência para as safras de 2003 a 2010. As métricas utilizadas foram o Value at Risk (VaR) e o índice de Sharpe modificado, que é uma variação do índice de Sharpe original. Os resultados apontam que os maiores retornos para a estocagem seriam obtidos durante as safras de inverno e para horizontes de tempos menores. Para a venda a descoberto, as médias dos retornos são próximas entre si para todos os horizontes de tempo. A compra e venda simultânea apresentou a melhor relação retorno/risco em relação às outras estratégias de comercialização.

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Perdas extremas em mercados de risco

Cited by 3 publications

References 2 publications

Portfolio construction and risk management: theory versus practice

Portfolio construction and risk management: theory versus practice

An evolving possibilistic fuzzy modeling approach for Value-at-Risk estimation

Avaliação de retornos e riscos na comercialização de milho: estudo de caso usando value-at-risk

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