Métodos de medição de risco de mercado: um estudo comparativo
Market risk measurement methods: a comparative study
Costa, Paulo Henrique S.; Baidya, Tara Keshar N.
http://dx.doi.org/10.1590/S0103-65132003000300003
Prod, vol.13, n3, p.18-33, 2003
Resumo
A modelagem do risco de mercado é de grande importância para as instituições financeiras e outras firmas que participam do mercado financeiro. Os modelos e técnicas empregados no Brasil nem sempre são os mais adequados às nossas condições específicas. Este trabalho estuda dez modelos de estimação de risco (volatilidade) usando dados de ações brasileiras, e faz uma aplicação em determinação de VaR.
Palavras-chave
Risco financeiro, volatilidade, processos estocásticos, modelos não-lineares
Abstract
Market risk modeling is very important to any company that participates of the financial market. Brazilian companies use models and techniques that not necessarily are the most suited for the features of the Brazilian markets. This paper compares ten risk (volatility) models, using Brazilian stock data, and uses them to determine VaR.
Keywords
Financial risk, volatility, stochastic processes, non linear models
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