ANÁLISE DO RISCO DE UM FUNDO DE AÇÕES PASSIVO EM UM MERCADO SUJEITO A INSTABILIDADES FINANCEIRAS / RISK ANALYSIS OF A PASSIVE MANAGEMENT STOCK FUND IN A MARKET SUBJECT TO FINANCIAL INSTABILITIES

AUTOR(ES)
DATA DE PUBLICAÇÃO

2004

RESUMO

The dissertation is an analysis of the market risk that an investor faces in a passive management stock fund linked to the IBOVESPA, supposing that the Brazilian financial market is subject to financial instabilities, which in theory can make the returns to become distant from a normal distribution. The risk is measured through the VaR and ETL, the latter being accepted as a coherent risk measure. The ETL is estimated through the VaR, which in turn is estimated by two different methodologies: jump- diffusion process and the supposition of normal distributed returns. Through the methodology of jump- diffusion, the market risk can be measured when the returns distribution has fatter tails than the normal distribution, as well as assimetry.

ASSUNTO(S)

value at risk riscos financeiros valor em risco financial risks

ACESSO AO ARTIGO

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