Aplicação da Teoria do Valor Extremo e Copulas para avaliar risco de mercado de ações brasileiras

• Autor(a) principal: Alves, Angelo Santos
• Data de Publicação: 2013
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UERJ
• Texto Completo: http://www.bdtd.uerj.br/handle/1/7592
• topic: Value-at-Risk; Extreme Value Theory; Copulas; GARCH Models; Monte Carlo Simulation; Value-at-Risk; Teoria dos Valores Extremos; Copulas; Modelos GARCH; Simulação de Monte Carlo; Ações (Finanças) - Brasil; Risco (Economia); Bolsa de valores; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA

Financial institutions are required by international agreements such as the Basel Accord, to assess the market risk to which the institution is likely to avoid possible contamination of its assets in financial disasters. In order to capture these phenomena, the need arises to build models that more accurately capture extreme movements of the return series. The work aimed to apply the Extreme Value Theory along with the estimation of copulas for VaR extremes quantiles. He uses techniques of Monte Carlo simulation, Extreme Value Theory and Copulas with Gaussian and t distributions. In contrast, the estimates produced will be compared with a second model, called Monte Carlo simulation of historical filtered, better known as filtered historical simulation (FHS). The techniques are applied to a portfolio of stocks of Brazilian companies.