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Master's Dissertation
DOI
10.11606/D.12.2001.tde-05112002-193028
Document
Author
Full name
Paulo Kwok Shaw Sain
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2001
Supervisor
Committee
Securato, Jose Roberto (President)
Maluf Filho, Jorge Arnaldo
Paiva, Antonio Claudio Reis de
Title in Portuguese
Estudo comparativo dos modelos de value-at-risk para instrumentos pré-fixados.
Keywords in Portuguese
renda fixa
risco de mercado
Abstract in Portuguese
Nos últimos anos, o value-at-risk tem se tornado uma ferramenta amplamente utilizada nas principais instituições financeiras, inclusive no Brasil. Dentre suas vantagens, destaca-se a possibilidade de se resumir em um único número os riscos de mercado incorridos e incorporar neste valor tanto a exposição da instituição quanto a volatilidade do mercado. O objetivo principal deste estudo é verificar a eficácia dos modelos mais conhecidos de value-at-risk - RiskMetrics(TM) e Simulação Histórica - na mensuração dos riscos de mercado de carteiras de renda fixa compostas por instrumentos pré-fixados em reais. No âmbito da alocação de capital para atendimento aos órgãos de regulamentação, o estudo estende-se também ao modelo adotado pelo Banco Central do Brasil. No decorrer do estudo, discute-se ainda as vantagens e desvantagens apresentadas, bem como o impacto que as peculiaridades do mercado brasileiro exercem sobre as hipóteses assumidas em cada um dos modelos.
Title in English
A comparative study of value-at-risk models for fixed rate instruments.
Keywords in English
fixed income
market risk
value-at-risk
Abstract in English
Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation, this study also extends briefly to the model adopted by the Brazilian Central Bank. Additionally, the underlying assumptions of these models are analyzed in the Brazilian financial market context. Also, this study discusses the advantages and disadvantages presented by the RiskMetrics and the Historical Simulation models.
 
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EstudoVaR.pdf (2.23 Mbytes)
Publishing Date
2003-06-16
 
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