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Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at RiskCoster, Rodrigo January 2013 (has links)
A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARCH e EGARCH. Para cada modelo univariado, utilizamos as cópulas Normal, t-Student, Gumbel rotacionada e Joe-Clayton simetrizada, com isso totalizando 36 modelos comparados. Nas comparações do VaR e ES foram utilizados, respectivamente, o teste de Chritoffersen e o teste de Mcneil e Frey. Os principais resultados encontrados foram a superioridade de modelos que supõem erros com distribuição t-Student, assim como a identificação de mudança no comportamento dos parâmetros dinâmicos nos períodos de crise. / Measuring the risk of an investment is one of the most important steps in an investor's decision-making. With this in light, this study compared three estimation methods (traditional; by univariate analysis of portfolio returns; dynamic copulas and static copulas), of two risk measurements: Value at Risk (VaR) and Expected Shortfall (ES). Such estimated measures are performed for a portfolio composed by the BOVESPA and S&P500 indexes, ranging from January 1998 to May 2012. For univariate modelling (including copulas marginals), the GARCH and EGARCH models were compared,. Regarding copulas, we use Normal, t-Student, rotated Gumbel and symmetric Joe-Clayton, leading to a total of 36 models being compared. For the comparison of VaR and ES were used, respectively, the Christoffersen test, and the Mcneil and Frey test. The main results found were the superiority of models assuming the t-Student distributed errors, as well as the identification of a change in the behaviour of dynamic parameters in periods of crisis.
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Comparando métodos de estimação de risco de um portfólio via Expected Shortfall e Value at RiskCoster, Rodrigo January 2013 (has links)
A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARCH e EGARCH. Para cada modelo univariado, utilizamos as cópulas Normal, t-Student, Gumbel rotacionada e Joe-Clayton simetrizada, com isso totalizando 36 modelos comparados. Nas comparações do VaR e ES foram utilizados, respectivamente, o teste de Chritoffersen e o teste de Mcneil e Frey. Os principais resultados encontrados foram a superioridade de modelos que supõem erros com distribuição t-Student, assim como a identificação de mudança no comportamento dos parâmetros dinâmicos nos períodos de crise. / Measuring the risk of an investment is one of the most important steps in an investor's decision-making. With this in light, this study compared three estimation methods (traditional; by univariate analysis of portfolio returns; dynamic copulas and static copulas), of two risk measurements: Value at Risk (VaR) and Expected Shortfall (ES). Such estimated measures are performed for a portfolio composed by the BOVESPA and S&P500 indexes, ranging from January 1998 to May 2012. For univariate modelling (including copulas marginals), the GARCH and EGARCH models were compared,. Regarding copulas, we use Normal, t-Student, rotated Gumbel and symmetric Joe-Clayton, leading to a total of 36 models being compared. For the comparison of VaR and ES were used, respectively, the Christoffersen test, and the Mcneil and Frey test. The main results found were the superiority of models assuming the t-Student distributed errors, as well as the identification of a change in the behaviour of dynamic parameters in periods of crisis.
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Measuring the risk of financial portfolios with nonlinear instruments and non-Gaussian risk factorsBustreo, Roberto January 2013 (has links)
The focus of my research has been computationally efficient means of computing measures of risk for portfolios of nonlinear financial instruments when the risk factors might be possibly non-Gaussian. In particular, the measures of risk chosen have been Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR). I have studied the problem of computation of risk in two types of financial portfolios with nonlinear instruments which depend on possibly non-Gaussian risk factors: 1. Portfolios of European stock options when the stock return distribution may not be Gaussian; 2. Portfolios of sovereign bonds (which are nonlinear in the underlying risk factor, i.e. the short rate) when the risk factor may or may not be Gaussian. Addressing both these problems need a wide array of mathematical tools both from the field of applied statistics (Delta-Gamma-Normal models, characteristic function inversion, probability conserving transformation) and systems theory (Vasicek stochastic differential equation model, Kalman filter). A new heuristic is proposed for addressing the first problem, while an empirical study is presented to support the use of filter-based models for addressing the second problem. In addition to presenting a discussion of these underlying mathematical tools, the dissertation also presents comprehensive numerical experiments in both cases, with simulated as well as real financial market data. Backtesting is used to confirm the validity of the proposed methods.
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A Study of the Impact of the Alternative Intervention Program on Improving Student Achievement, Attendance, and DisciplineAllen-Hardy, Beverly 13 November 2009 (has links)
This mixed methods study sought to examine student perceptions of the impact of an alternative intervention program (AIP), and provide a framework meant to inspire programs in other locations. Focusing on attendance, discipline, and academic achievement data, this study examined what factors motivate successful alternative education students to succeed upon their return to the comprehensive setting, and identify support factors that foster resiliency. Qualitative data were collected through three focus groups of students who were either new to the program, enrolled in the program for at least a nine-week period, and students who successfully completed a nine-week placement. Six adult students who completed the program and received a high school diploma were in-depth interview participants. Quantitative data were collected using student records. Results indicated differences in the students’ perception of grades earned and the actual grades received. Students were able to maintain their attendance, grades, and discipline during the alternative program enrollment, but scored lower in English and Mathematics after leaving the program than they did prior to attending the program. The fast pace and rigor of a standards-based curriculum in a comprehensive setting proved challenging for students in need of a caring, nurturing environment that offered individualized instruction. Students overwhelmingly attribute their success in the alternative program to a caring staff, and flexible scheduling within a structured environment. This study revealed the need for a more structured process to transition students from the alternative to comprehensive settings. Students could literally be in the alternative setting today and in the comprehensive setting tomorrow, with very little support or guidance. This led to repeated disciplinary offenses and for some students, their return to the alternative setting.
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La Rue HousePeters, Matthew 22 May 2006 (has links)
La Rue House is a collection of short fictional stories set in and around a homeless shelter for adolescents.
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Una comparación de medidas de riesgo financieroDíaz Cáceres, Alejandra 06 1900 (has links)
Seminario para optar al título de Ingeniero Comercial,Mención Administración / Hoy en día, la información actualizada es una prioridad para todo ámbito empresarial, donde aquella institución que no está dispuesta a innovar constantemente en aprendizaje, adaptación a las necesidades del cliente y tecnología, va quedando atrás y tiene alta probabilidad de dejar de existir totalmente. Lo mismo ocurre en el ámbito de las instituciones financieras, donde si no adoptan las últimas regulaciones, son multados por las fiscalizadoras; si no tienen buenos sistemas de información, caen en ineficiencias en las operaciones; y si no utilizan los últimos avances en las mediciones de riesgo, tendrán más pérdidas que aquellas instituciones que sí resguardan de manera adecuada sus inversiones.
Es por esto que se vuelve relevante el analizar las últimas medidas de riesgo, para que las empresas que manejan distintos portafolios, ya sea de inversión o como cobertura para otros activos financieros, sepan cómo cubrirse de la volatilidad del mercado y así disminuir la posible pérdida frente a malas circunstancias.
En este trabajo, se analiza la principal medida de riesgo Value-at-Risk, y se compara con la nueva medida Déficit Esperado, que se está colocando por sobre las demás medidas, al cumplir una serie de propiedades que la vuelven más eficiente y óptima al estimar posibles pérdidas.
Se encuentra que la principal diferencia entre ambas medidas, es que el Déficit Esperado calcula un riesgo mayor que el del VaR al utilizar un coeficiente de estimación mayor, por lo que es más conservador; pero que frente a circunstancias normales de mercado, como es el caso del mercado chileno, los activos no son altamente volátiles y el portafolio no tendrá posibles pérdidas mayores a las esperadas, por lo que la estimación del VaR es suficiente como análisis de riesgo. En casos donde el portafolio contenga activos muy volátiles, se recomienda el uso del Déficit Esperado y siempre a un nivel de confianza del 99% en ambas medidas.
La estructura del trabajo consiste en: una revisión bibliográfica sobre ambos temas; seguida de las definiciones teóricas y matemáticas de ambas medidas de riesgo, con las críticas al VaR y el por qué no es una medida de riesgo coherente; luego, se realiza una evidencia empírica para analizar estas medidas empíricamente, aplicada a las acciones pertenecientes al IPSA del mercado chileno a través de los últimos tres años; y se termina concluyendo los resultados y la conveniencia de las medidas
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Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options PortfolioInfantino, Shanna 02 May 2012 (has links)
With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.
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Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options PortfolioShah, Azuri 02 May 2012 (has links)
With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.
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Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica. / Market risks in energy trading: an approach via energy management and project portfolio completion, considering the mitigation of uncertainties of wind generation.Tamashiro, Andre Takeshi 15 May 2014 (has links)
No setor elétrico brasileiro as fontes renováveis de energia têm se tornadas atrativas do ponto de vista do investidor devido não só aos incentivos de política de governo, como também por exibirem uma elevada competitividade, além da sinergia proveniente da complementariedade energética entre essas fontes. Por outro lado,a tomada de decisão de investimento em empreendimentos de geração tem se caracterizado cada vez mais como um processo complexo e arriscado, devido à potencial perda financeira decorrente de um fluxo de caixa bastante irregular, fundamentalmente em função da interação no mercado de curto prazo. Este trabalho descreve o problema e a solução para um investidor caracterizado por sua aversão ou apetite ao risco otimizando os recursos com restrição de risco (VaR, CVaR mesclado com conceito do CFaR). Os resultados mostram que para parâmetros usuais que condicionam o risco financeiro, tais como,(i) a taxa de investimento, (ii) preço de contrato de venda e (iii) custo de investimento, o modelo busca a solução para a melhor alocação de investimento, representada por um portfólio ótimo de projetos, respeitando limites fixados para o montante a ser investido e o risco financeiro correspondente. De forma geral, a conceituação da medida de aversão a risco e sua implementação no modelo de otimização desenvolvido permitiram obter resultados robustos para o tipo de problema abordado e a diversidade de situações analisada a partir de estudos de caso. / Brazilian electricity sector in renewable energy sources has become attractive from the investor point of view not only because of government policy incentives, but also to exhibit a high competitiveness beyond energy synergy from the complementarity between energy sources. However, the decision making of investments in generation capacity has come to characterize a complex and risky process, because of the potential financial loss resulting from a highly irregular cash flow, mainly due to the interaction in the short-term market. This paper describes the problem and solution for the risk averse investor optimizing financial resources constrained risk (VaR, CVaR merged with the concept CFaR). The results show that for the risk factors, as for instance, investment rate, sales price and cost of investment contract, the model responds within the limits of tax risks. In general, the concept of measure of risk aversion and its implementation in the optimization model developed is shown robust to the type of problem addressed.
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Riscos de mercado na comercialização de energia: uma abordagem via complementação energética e gestão de portfólio de projetos, considerando a mitigação de incertezas da geração eólica. / Market risks in energy trading: an approach via energy management and project portfolio completion, considering the mitigation of uncertainties of wind generation.Andre Takeshi Tamashiro 15 May 2014 (has links)
No setor elétrico brasileiro as fontes renováveis de energia têm se tornadas atrativas do ponto de vista do investidor devido não só aos incentivos de política de governo, como também por exibirem uma elevada competitividade, além da sinergia proveniente da complementariedade energética entre essas fontes. Por outro lado,a tomada de decisão de investimento em empreendimentos de geração tem se caracterizado cada vez mais como um processo complexo e arriscado, devido à potencial perda financeira decorrente de um fluxo de caixa bastante irregular, fundamentalmente em função da interação no mercado de curto prazo. Este trabalho descreve o problema e a solução para um investidor caracterizado por sua aversão ou apetite ao risco otimizando os recursos com restrição de risco (VaR, CVaR mesclado com conceito do CFaR). Os resultados mostram que para parâmetros usuais que condicionam o risco financeiro, tais como,(i) a taxa de investimento, (ii) preço de contrato de venda e (iii) custo de investimento, o modelo busca a solução para a melhor alocação de investimento, representada por um portfólio ótimo de projetos, respeitando limites fixados para o montante a ser investido e o risco financeiro correspondente. De forma geral, a conceituação da medida de aversão a risco e sua implementação no modelo de otimização desenvolvido permitiram obter resultados robustos para o tipo de problema abordado e a diversidade de situações analisada a partir de estudos de caso. / Brazilian electricity sector in renewable energy sources has become attractive from the investor point of view not only because of government policy incentives, but also to exhibit a high competitiveness beyond energy synergy from the complementarity between energy sources. However, the decision making of investments in generation capacity has come to characterize a complex and risky process, because of the potential financial loss resulting from a highly irregular cash flow, mainly due to the interaction in the short-term market. This paper describes the problem and solution for the risk averse investor optimizing financial resources constrained risk (VaR, CVaR merged with the concept CFaR). The results show that for the risk factors, as for instance, investment rate, sales price and cost of investment contract, the model responds within the limits of tax risks. In general, the concept of measure of risk aversion and its implementation in the optimization model developed is shown robust to the type of problem addressed.
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