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Um modelo de dois fatores para o cálculo do VaR de uma carteira de renda fixa / A 2-Factor Model for Value at Risk (VaR)

Cálculo do VaR de uma Carteira de Renda Fixa composta por LTNs utilizando modelo de fatores. / Market risk monitoring through Value at Risk is a task undertaken by almost all financial institutions in Brasil due to the regulatory environment set by Banco Central. However, VaR calculations of a portfolio of investments can get quite complicated involving the calculation of matrixes. One must bear in mind that the matrix dimensions increases geometricaly as the number of assets of the portfolio increases. This reality is a fertile soil for researchers to find simpler methodologies for VaR calculations. The proposed framework in this work shows a simpler methodology for VaR calculations of fixed income portfolios of government securities.

Identiferoai:union.ndltd.org:usp.br/oai:teses.usp.br:tde-12052007-105921
Date30 July 2002
CreatorsVeiga, Rafael Paschoarelli
ContributorsSecurato, Jose Roberto
PublisherBiblioteca Digitais de Teses e Dissertações da USP
Source SetsUniversidade de São Paulo
LanguagePortuguese
Detected LanguageEnglish
TypeDissertação de Mestrado
Formatapplication/pdf
RightsLiberar o conteúdo para acesso público.

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