Das Konzept Value at Risk (VaR) scheint sich als Standard im Rahmen von internen Risikomanagementmodellen in der Praxis durchzusetzen. Als quantitatives Risikomaß setzt es sich aus einem Volatilitätsmaß, der Modellierung von Verteilungen von Wertpapierrenditen und einem Bewertungsmodell zusammen. Die vorliegende Arbeit untersucht nun empirisch welche Bedeutung diese Komponenten für den VaR eines einfachen Aktienportefeuilles haben. Dabei zeigt sich, daß die Wahl des Volatilitätsmaßes keinen signifikanten Einfluß auf die Ermittlung des VaR für ein Aktienportefeuille hat. Sowohl die Annahme über die Verteilung der Aktienrenditen als auch der Bewertungsansatz mit dem das Aktienportefeuille abgebildet wird, können gravierende Änderungen im VaR nach sich ziehen. Diese Ergebnis läßt daher den Schluß zu, daß bei der Ermittlung der Eigenkapitalvorsorge im Rahmen der Kapitaladäquanzrichtlinie die Wahl des geeigneten Bewertungsmodells als auch der Verteilungsfunktion von großer Bedeutung sind. (Autorenreferat) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

過去的管制相繼解除，再加上充分運作的市場機能，活絡的金融市場，以及近兩年來美金持續貶值，這使得近年來股票、債券，及其他衍生性金融商品在國內、外金融市場蓬勃發展，企業可運用的資金管道及避險工具也更多元化。風險控管已不容忽視，企業決策者如何在風險與報酬中作出適當的取捨，有賴風險的衡量與管理之精確性。 國際清算銀行的巴塞爾銀行監理委員會於1994年7月提出「衍生性金融商品操作與財務風險管理」中，允許金融機構採用風險值(VaR)來衡量所暴露的市場風險。在2004年6月定案之新版巴塞爾協定依舊強調其衡量所暴露市場風險的重要性，以協助投資管理人員、金融機構的專業經理人、及監理機關，對風險控管之衡量。 本文目的在強調投資管理人員及金融機構的專業經理人及財報使用者對風險控管之認知,故本論文以台灣投資人的角度求算VaR，以作為資產配置評估的風險衡量之方法。並應用夏普法則以供決策之制定，它可使決策者在不同預期風險中選擇一適當決策，稱之為VaR夏普法則。在低度相關係數情況下，得以達到分散風險之正面效果。 最後，並引入遠期外匯契約作為規避匯率風險的工具，直接利用遠期契約最適避險策略來規避匯率風險，利用最適避險策略觀察其對各組國家配對的投資組合報酬與風險的影響。以風險值的角度，觀察在不同的國家配對組合中，並考量經濟情勢及貨幣走勢，避險策略確實對於國際投資組合報酬率有正面之影響。依本論文實證結果，由於報酬與風險兩者具有抵換關係，建議投資管理人員及財報使用者除了強調報酬之績效衡量外，同時應重視風險之管理，以降低風險及避免報酬巨幅的波動。

Zugl.: Osnabrück, Univ., Diss., 2005

<p>The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.</p>

The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.

Thesis (doctoral)--Universität, Göttingen, 2000.

This thesis consists of three research topics, which together study the related topics of volatility jumps, modeling volatility and forecasting Value-at-­Risk (VaR). The first topic focuses on volatility jumps based on two recently developed jumps detection methods and empirically studied six markets and the distributional features, size and intensity of jumps and cojumps. The results indicate that foreign exchange markets have higher jump intensities, while equity markets have a larger jump size. I find that index and stock markets have more interdependent cojumps across markets. I also find two recently proposed jump detection methods deliver contradictory results of jump and cojump properties. The jump detection technique based on realized outlyingness weighted variation (ROWV) delivers higher jump intensities in foreign exchange markets, whereas the bi-­power variation (BV) method produces higher jump intensities in equity markets. Moreover, jumps under the ROWV method display more serial correlations than the BV method. The ROWV method detects more cojumps and higher cojumps intensities than the BV method does, particularly in foreign exchange markets. In the second topic, the Model Confidence Set test (MCS) is used. MCS selects superior models by power in forecasting ability. The candidate models set included 9 GARCH type models and 8 realized volatility models. The dataset is based on six markets spanning more than 10 years, avoiding the so-called data snooping problem. The dataset is extended by including recent financial crisis periods. The advantage of the MCS test is that it can compare models in a group, not only in a pair. Two loss functions that are robust to noise in volatility proxy were also implemented and the empirical results indicated that the traditional GARCH models were outperformed by realized volatility models when using intraday data. The MCS test based on MSE selected asymmetric ARFIMA models and the HAR mode as the most predictive, while the asymmetric QLike loss function revealed the leveraged HAR and leveraged HAR-­CJ model based on bi-­power variation as the highest performers. Moreover, results from the subsamples indicate that the asymmetric ARFIMA model performs best over turbulent periods. The third topic focuses on evaluating a broad band of VaR forecasts. Different VaR models were compared across six markets, five volatility models, four distributions and 8 quantiles, resulting in 960 specifications. The MCS test based on regulatory favored asymmetric loss function was applied and the empirical results indicate that the proposed asymmetric ARFIMA and leveraged HAR models, coupled with generalized extreme value distribution (GEV) or generalized Pareto distribution (GPD), have the superior predictive ability on both long and short positions. The filtered extreme value methods were found to handle not only extreme quantiles but also regular ones. The analysis conducted in this thesis is intended to aid risk management, and subsequently reduce the probability of financial distress in the sector.

REIS, Felipe Alves. Essays on the role of contagion and integration in international issues of South America. Tese (doutorado). Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2017. 93f. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:24:39Z No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:25:08Z (GMT) No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Made available in DSpace on 2017-06-02T18:25:08Z (GMT). No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) Previous issue date: 2017 / The emerging economies of South America commonly attract the attention of researchers, even if for punctually different reasons among the economies in question. These economies include the strong Chilean financial market, the consolidated domestic demand of the Brazilian population, the Argentine anti-democratic convergence, the process of internal pacification in Colombia, or even the high growth rates of the Peruvian economy. In addition to this, we highlight the results of Matos, Siqueira & Trompieri (2014) that show the existence of a high level of integration and the financial contagion among the indices of Brazil, Argentina, Colombia, Chile, Peru and Venezuela. In light of these evidences, this thesis presents three essays on financial and economic data from Brazil, Argentina, Colombia, Chile and Peru. In the first essay, we analyze the risk market of these economies using the Value at Risck - VaR conditional methodology, in which the critical value that characterizes the VaR is associated to the distribution that presents the best fitting, and we incorporate the effects of the mean and the volatility, both conditional, obtained by the best-specified ARMA-GARCH model, showing that the best fitting conditional models have a smaller number of violations. The second essay presents the analysis of international reserves, conceptually following the notions of the Buffer Stock methodology, but considering the significant cross-effects of conditional volatilities, their respective spreads and intra-block importation. The results point to both a significant improvement in the explanatory power of the model and that the Brazilian reserves are the least affected by South American economies. In the last essay, we analyze some diversified portfolio options available to a Brazilian investor, who faces a scenario with no opportunities in the financial market, with the purpose of measuring gains with diversification of the position acquired in the South American market indices vis-à-vis the domestic portfolio. The results show the possibility that simple and non-dynamic portfolio composition strategies, composed only of indexes of the markets of the neighboring countries of Brazil, translate into very satisfactory results in terms of expected gain and risk. / As economias emergentes da América do Sul atraem comumente a atenção de pesquisadores, mesmo que por razões pontualmente distintas entre as economias em questão. Dentre essas economias pode-se destacar o sólido mercado financeiro chileno, a consolidada demanda interna da população brasileira, a convergência antidemocrática argentina, o processo de pacificação interna colombiana, ou mesmo as elevadas taxas de crescimento da economia peruana. Adicionalmente a isso, ressaltamos os resultados de Matos, Siqueira & Trompieri (2014) que evidenciam a existência de um elevado nível de integração e o contágio financeiro entre os índices do Brasil, Argentina, Colômbia, Chile, Peru e Venezuela. À luz dessas evidências, essa tese faz três ensaios acerca de dados financeiros e econômicos do Brasil, Argentina, Colômbia, Chile e Peru. No primeiro ensaio faz-se a análise do mercado de risco dessas economias através da metodologia Value at Risck - VaR condicional, onde o valor crítico que caracteriza o VaR foi associado à distribuição que apresentar melhor fitting e incorporamos os efeitos da média e da volatilidade, ambas condicionais, obtidas pelo arcabouço ARMA-GARCH mais bem especificado. Onde observa-se que os modelos condicionais best fitting tem uma menor quantidade de violações. No segundo ensaio, buscou a análise das reservas internacionais seguindo conceitualmente noções da metodologia Buffer Stock, porém considerando os efeitos cruzados significativos das volatilidades condicionais, dos respectivos spreads e das importações intrablocos. Os resultados apontam uma melhoria significativa no poder explicação do modelo e que as reservas brasileiras são a menos afetadas pelas economias da América do Sul. No último ensaio foi analisado as opções de carteiras diversificadas disponíveis para um investidor brasileiro, que enfrenta um cenário livre de oportunidades no mercado financeiro, com o objetivo de mensurar ganhos com diversificação da posição adquirida nos índices de mercado da América do Sul vis-à-vis um carteira doméstica. Os resultados mostram a possibilidade que estratégias de composição de carteira simples e não dinâmica, composta somente de índices dos mercados dos países vizinhos do Brasil, se traduzam em resultados muito satisfatórios em termos de ganho e risco esperados.

MAYORGA, Rodrigo de Oliveira. An application of value at risk and expected shortfall / Rodrigo de Oliveira Mayorga. - 2016. 60f. Tese (Doutorado) - Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2016. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:28Z No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:45Z (GMT) No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Made available in DSpace on 2017-06-07T18:33:45Z (GMT). No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) Previous issue date: 2016 / The last two decades have been characterized by significant volatilities in financial world marked by few major crises, market crashes and bankruptcies of large corporations and liquidations of major financial institutions. In this context, this study considers the Extreme Value Theory (EVT), which provides well established statistical models for the computation of extreme risk measures like the Value at Risk (VaR) and Expected Shortfall (ES) and examines how EVT can be used to model tail risk measures and related confidence interval, applying it to daily log-returns on four market indices. These market indices represent the countries with greater commercial trade with Brazil for last decade (China, U.S. and Argentina). We calculate the daily VaR and ES for the returns of IBOV, SPX, SHCOMP and MERVAL stock markets from January 2nd 2004 to September 8th 2014, combining the EVT with GARCH models. Results show that EVT can be useful for assessing the size of extreme events and that it can be applied to financial market return series. We also verified that MERVAL is the stock market that is most exposed to extreme losses, followed by the IBOV. The least exposed to daily extreme variations are SPX and SHCOMP. / As duas últimas décadas têm sido caracterizadas por volatilidades significativas no mundo financeiro em grandes crises, quebras de mercado e falências de grandes corporações e liquidações de grandes instituições financeiras. Neste contexto, este estudo considera a evolução da Teoria do Valor Extremo (EVT), que proporciona modelos estatísticos bem estabelecidos para o cálculo de medidas de risco extremos, como o Value at Risk (VaR) e Espected Shortfall (ES) e examina como a EVT pode ser usada para modelar medidas de risco raros, estabelecendo intervalos de confiança, aplicando-a aos log-retornos diários a quatro índices de mercado. Estes mercados representam os países com maior intercâmbio comercial com o Brasil (China, U.S. e Argentina). Calculamos o VaR e ES diários dos índices IBOV, SPX, SHCOMP e MERVAL, com dados diários entre de 02 de janeiro de 2004 e 08 de setembro de 2014, combinando a EVT com modelos GARCH. Os resultados mostram que EVT pode ser útil para avaliar o tamanho de eventos extremos e que ele pode ser aplicado a séries de retorno do mercado financeiro. Verifica-se ainda que MERVAL é o mercado de ações que está mais exposta a perdas extremas, seguido do IBOV. Os menos expostos a variações extremas diárias são SPX e SHCOMP.

FERREIRA, Antonio Glênio Moura. Gestão de risco das principais tesourarias de fundos de investimento em ações no Brasil. 2014. 74 f. Dissertação (Mestrado Profissional) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2014. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:33Z No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:47Z (GMT) No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Made available in DSpace on 2014-11-26T19:15:47Z (GMT). No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) Previous issue date: 2014 / This study aims to examine empirically the behavior of the model for measuring market risk Value at Risk - VaR in its parametric interpretation unconditional Gaussian and extensions that regulate violations on heteroscedasticity and non-normality of daily returns of investment funds Actions, of the thirteen largest financial institutions resident in Brazil, during the January/06 dezembro/12. For a better evaluation of the data, we sought to initially model the conditional evolution of risk and adjust the statistic al idiosyncrasy of temporal series of thirteen treasuries, using probability distributions that best adapt to the analysis of the models. The results obtained with the semodels are analyzed by the test failure rate proposed by Kupiec (1995) and Chisttoffersen (1998). The survey also shows, with graphic examples, a performance Risk - Return of the thirteen banks using the methodology proposed by Balzer. / O presente trabalho busca analisar, empiricamente, o comportamento do modelo de mensuração de risco de mercado Value-at-Risk – VaR em sua interpretação paramétrica gaussiana incondicional e extensões que regulam as violações sobre a não normalidade e a heterocedasticidade dos retornos diários dos fundos de investimentos em Ações, das treze maiores instituições financeiras residentes no Brasil, durante o período de janeiro/06 a dezembro/12. Para uma melhor avaliação dos dados, buscou-se, inicialmente, modelar a evolução condicional do risco e ajustar a idiossincrasia estatística das séries temporais das treze tesourarias, utilizando distribuições de probabilidade que mais se adaptassem à análise dos modelos. Os resultados obtidos com esses modelos são analisados à luz do teste para proporção de falhas proposto por Kupiec (1995) e Chisttoffersen (1998). A pesquisa ainda apresenta, com exemplos gráficos, uma análise de desempenho Risco – Retorno dos treze bancos utilizando a metodologia proposta por Balzer.