Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/251 |
Resumo: | For investors, Exchange-Traded Funds (ETFs) are securities structured as portfolios that replicate financial market indexes, but with the facility of being traded as stocks. The aim of the study was to analyze the risk exposure of Brazilian ETFs, compared to the Ibovespa index and the corresponding BMFBovespa indexes. For the present analysis the methodology of Value-at-Risk (VaR) at 5% was used, with historical simulation, coupled with the Expected Shortfall (ES) methodology, also at 5%. Next, the Unplanned Divergence (DnP) was used as a tracking error mechanism . The Monte Carlo simulation for replication of the verified values was also used, considering the previous profitability measures. The results presented the frequency distributions for the losses, and those lower than the VaR, which characterizes the expectation of loss measured by the ES. All ETFs presented losses and exposure to risk greater than those observed for the Ibovespa benchmark and its respective benchmark indexes. |
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Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment TechniquesAnálise da exposição a perdas dos ETFs brasileiros conforme as técnicas de avaliação de risco de mercado Value at Risk (VaR) e Expected Shortfall (ES)RiskETFExpected shortfallUnplanned divergenceMonte CarloRiscoETFExpected ShortfallDivergência não planejadaMonte CarloFor investors, Exchange-Traded Funds (ETFs) are securities structured as portfolios that replicate financial market indexes, but with the facility of being traded as stocks. The aim of the study was to analyze the risk exposure of Brazilian ETFs, compared to the Ibovespa index and the corresponding BMFBovespa indexes. For the present analysis the methodology of Value-at-Risk (VaR) at 5% was used, with historical simulation, coupled with the Expected Shortfall (ES) methodology, also at 5%. Next, the Unplanned Divergence (DnP) was used as a tracking error mechanism . The Monte Carlo simulation for replication of the verified values was also used, considering the previous profitability measures. The results presented the frequency distributions for the losses, and those lower than the VaR, which characterizes the expectation of loss measured by the ES. All ETFs presented losses and exposure to risk greater than those observed for the Ibovespa benchmark and its respective benchmark indexes.Os Exchange-traded Funds (ETFs) são, para os investidores, títulos compostos por carteiras que replicam índices do mercado financeiro, mas com a facilidade da negociação de ações. O trabalho tem, como objetivo, analisar a exposição a risco dos ETFs brasileiros, comparados ao Índice Bovespa e aos índices correspondentes da BM&FBovespa. Utilizou-se, para a presente análise, a metodologia do Value-at-Risk (VaR) a 5%, com simulação histórica, conjugada àExpected Shortfall (ES), também a 5%. Em seguida, utilizou-se a Divergência Não Planejada (DnP) como mecanismo de tracking error. Utilizou-se também a simulação de Monte Carlo para a replicação dos valores verificados, atendidas as condições das rentabilidades aferidas nos procedimentos iniciais. Os resultados apresentaram as distribuições de frequências para as perdas mediante resultados inferiores ao VaR, de modo a caracterizar a expectativa de perda mensurada pelo ES. Todos os ETFs apresentaram perdas e exposições a risco superiores às verificadas para o referencial Ibovespa e seus respectivos indexadores.FUCAPE Business Shool2014-07-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/25110.15728/bbr.2014.11.4.4Brazilian Business Review; Vol. 11 No. 4 (2014): July to August 2014; 84-106Brazilian Business Review; v. 11 n. 4 (2014): Julho a Agosto de 2014; 84-1061808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/251/379http://www.bbronline.com.br/index.php/bbr/article/view/251/380Matos, Getúlio Alves de SouzaIquiapaza, Robert AldoFerreira, Bruno Pérezinfo:eu-repo/semantics/openAccess2018-11-06T19:50:26Zoai:ojs.pkp.sfu.ca:article/251Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:50:26BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques Análise da exposição a perdas dos ETFs brasileiros conforme as técnicas de avaliação de risco de mercado Value at Risk (VaR) e Expected Shortfall (ES) |
title |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
spellingShingle |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques Matos, Getúlio Alves de Souza Risk ETF Expected shortfall Unplanned divergence Monte Carlo Risco ETF Expected Shortfall Divergência não planejada Monte Carlo |
title_short |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
title_full |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
title_fullStr |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
title_full_unstemmed |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
title_sort |
Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques |
author |
Matos, Getúlio Alves de Souza |
author_facet |
Matos, Getúlio Alves de Souza Iquiapaza, Robert Aldo Ferreira, Bruno Pérez |
author_role |
author |
author2 |
Iquiapaza, Robert Aldo Ferreira, Bruno Pérez |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Matos, Getúlio Alves de Souza Iquiapaza, Robert Aldo Ferreira, Bruno Pérez |
dc.subject.por.fl_str_mv |
Risk ETF Expected shortfall Unplanned divergence Monte Carlo Risco ETF Expected Shortfall Divergência não planejada Monte Carlo |
topic |
Risk ETF Expected shortfall Unplanned divergence Monte Carlo Risco ETF Expected Shortfall Divergência não planejada Monte Carlo |
description |
For investors, Exchange-Traded Funds (ETFs) are securities structured as portfolios that replicate financial market indexes, but with the facility of being traded as stocks. The aim of the study was to analyze the risk exposure of Brazilian ETFs, compared to the Ibovespa index and the corresponding BMFBovespa indexes. For the present analysis the methodology of Value-at-Risk (VaR) at 5% was used, with historical simulation, coupled with the Expected Shortfall (ES) methodology, also at 5%. Next, the Unplanned Divergence (DnP) was used as a tracking error mechanism . The Monte Carlo simulation for replication of the verified values was also used, considering the previous profitability measures. The results presented the frequency distributions for the losses, and those lower than the VaR, which characterizes the expectation of loss measured by the ES. All ETFs presented losses and exposure to risk greater than those observed for the Ibovespa benchmark and its respective benchmark indexes. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-07-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/251 10.15728/bbr.2014.11.4.4 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/251 |
identifier_str_mv |
10.15728/bbr.2014.11.4.4 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/251/379 http://www.bbronline.com.br/index.php/bbr/article/view/251/380 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 11 No. 4 (2014): July to August 2014; 84-106 Brazilian Business Review; v. 11 n. 4 (2014): Julho a Agosto de 2014; 84-106 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732237912276992 |