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An application of value at risk and expected shortfall / An application of value at risk and expected shortfall

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
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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.

Identiferoai:union.ndltd.org:IBICT/oai:www.repositorio.ufc.br:riufc/23104
Date January 2016
CreatorsMayorga, Rodrigo de Oliveira
ContributorsFarias, Rafael Braz Azevedo, Simonassi, Andrei Gomes
Source SetsIBICT Brazilian ETDs
LanguagePortuguese
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/doctoralThesis
Sourcereponame:Repositório Institucional da UFC, instname:Universidade Federal do Ceará, instacron:UFC
Rightsinfo:eu-repo/semantics/openAccess

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