EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION

Detalhes bibliográficos
Autor(a) principal: de Oliveira Bezerra, Fábio Luiz
Data de Publicação: 2013
Outros Autores: De Montreuil Carmona, Charles Ulises
Tipo de documento: Artigo
Idioma: por
Título da fonte: REAd (Porto Alegre. Online)
Texto Completo: https://seer.ufrgs.br/index.php/read/article/view/44156
Resumo: The Decision-Taking Support Systems could help in their user's decision-taking process. Banks are offering insurance, welfare state, investment calculation simulators among others, aiming at acquiring more clients and even maintain the existing ones. The goal of this article is to describe the simulators available in the sites of 20 major banks in Brazil, analyzing them according to the main components of a Decision-Taking Support System. This research is of exploratory-descriptive nature and the 78 simulators identified in the sites of the 20 major banks in Brazil were taken into consideration. Among the main results, it could be pointed out that the greatest number of simulators identified were those offering hints on investments, financing, personal credit line and welfare state.
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spelling EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATIONEVALUACIÓN DE LA ESTIMATIVA DEL RIESGO DE MERCADO DE ACCIONES Y OPCIONES DE COMPRA DE LA PETROBRÁS UTILIZANDO LA METODOLOGÍA VALUE AT RISK (VaR) CON SIMULACIÓN DE MONTE CARLOAVALIAÇÃO DA ESTIMATIVA DO RISCO DE MERCADO DE AÇÕES E OPÇÕES DE COMPRA DA PETROBRÁS UTILIZANDO A METODOLOGIA VALUE AT RISK (VaR) COM SIMULAÇÃO DE MONTE CARLOSimulationDecision-Taking Support SystemInternetWorld Wide Webe-bankingSimulaciónsistemas de apoyo a la decisióninternetworld wide webe-bankingRisco de mercadoValue at Risksimulação de Monte Carlo.The Decision-Taking Support Systems could help in their user's decision-taking process. Banks are offering insurance, welfare state, investment calculation simulators among others, aiming at acquiring more clients and even maintain the existing ones. The goal of this article is to describe the simulators available in the sites of 20 major banks in Brazil, analyzing them according to the main components of a Decision-Taking Support System. This research is of exploratory-descriptive nature and the 78 simulators identified in the sites of the 20 major banks in Brazil were taken into consideration. Among the main results, it could be pointed out that the greatest number of simulators identified were those offering hints on investments, financing, personal credit line and welfare state. Los Sistemas de Apoyo a la Decisión pueden auxiliar en la tomada de decisión de los usuarios. Los bancos están ofreciendo en sus web sites simuladores para cálculo de seguro, seguridad, investimiento, dentre otros, visando captar nuevos clientes y mismo mantener los existentes. El objetivo de este artículo es describir los simuladores disponibles en los sitios de los 20 mayores bancos en el Brasil, analisándolos en relación a los principales componentes de un Sistema de Apoyo a la Decisión. La naturaleza de esta investigación es exploratorio-descritiva y se consideró en el análisis los 78 simuladoresidentificados en los sitios de los 20 mayores en el Brasil. Entre los principales resultados, se puede citar que los simuladores identificados en un mayor número de bancos fueron de investimiento, financiamiento, crédito personal y seguridad.Este trabalho tem o intuito de avaliar a capacidade da abordagem Value at Risk com simulação de Monte Carlo (SMC), na previsão do risco de mercado da ação da Petrobrás (PETR4) e das opções de compra da PETR4 (PETRJ39, PETRH6, PETRH5). Compara-se a performance da SMC com os métodos denominados paramétricos: para a carteira de ações, considera-se o modelo do desvio padrão, e, para as opções, utilizam-se aproximações Delta e Delta-Gama. A SMC para as opções é obtida pelos seguintes modelos de precificação do valor da carteira: o de Black & Scholes (SMC Univariada), o de Hull & White, que inclui volatilidade estocástica (SMC Bivariada), e, por último, a inclusão da taxa de juros também estocástica através do modelo de Rendleman e Bartter (SMC Trivariada). As evidências empíricas sugerem que a estimativa do VaR pela simulação de Monte Carlo supera a dos métodos paramétricos, notadamente em carteiras não-lineares.Universidade Federal do Rio Grande do Sul2013-12-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articleartículo científicoAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/44156Electronic Review of Administration; Vol. 8 No. 4 (2002): Edição 28 - Jul/Ago 2002Revista Electrónica de Administración; Vol. 8 Núm. 4 (2002): Edição 28 - Jul/Ago 2002Revista Eletrônica de Administração; v. 8 n. 4 (2002): Edição 28 - Jul/Ago 20021413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/44156/27738de Oliveira Bezerra, Fábio LuizDe Montreuil Carmona, Charles Ulisesinfo:eu-repo/semantics/openAccess2013-12-12T17:23:14Zoai:seer.ufrgs.br:article/44156Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2013-12-12T17:23:14REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
EVALUACIÓN DE LA ESTIMATIVA DEL RIESGO DE MERCADO DE ACCIONES Y OPCIONES DE COMPRA DE LA PETROBRÁS UTILIZANDO LA METODOLOGÍA VALUE AT RISK (VaR) CON SIMULACIÓN DE MONTE CARLO
AVALIAÇÃO DA ESTIMATIVA DO RISCO DE MERCADO DE AÇÕES E OPÇÕES DE COMPRA DA PETROBRÁS UTILIZANDO A METODOLOGIA VALUE AT RISK (VaR) COM SIMULAÇÃO DE MONTE CARLO
title EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
spellingShingle EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
de Oliveira Bezerra, Fábio Luiz
Simulation
Decision-Taking Support System
Internet
World Wide Web
e-banking
Simulación
sistemas de apoyo a la decisión
internet
world wide web
e-banking
Risco de mercado
Value at Risk
simulação de Monte Carlo.
title_short EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
title_full EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
title_fullStr EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
title_full_unstemmed EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
title_sort EVALUATION OF RISK OF THE SHARE MARKET AND OPTIONS FOR THE PURCHASE OF PETROBRÁS, USING THE METHODOLOGY VALUE AT RISK (VaR), WITH MONTE CARLO SIMULATION
author de Oliveira Bezerra, Fábio Luiz
author_facet de Oliveira Bezerra, Fábio Luiz
De Montreuil Carmona, Charles Ulises
author_role author
author2 De Montreuil Carmona, Charles Ulises
author2_role author
dc.contributor.author.fl_str_mv de Oliveira Bezerra, Fábio Luiz
De Montreuil Carmona, Charles Ulises
dc.subject.por.fl_str_mv Simulation
Decision-Taking Support System
Internet
World Wide Web
e-banking
Simulación
sistemas de apoyo a la decisión
internet
world wide web
e-banking
Risco de mercado
Value at Risk
simulação de Monte Carlo.
topic Simulation
Decision-Taking Support System
Internet
World Wide Web
e-banking
Simulación
sistemas de apoyo a la decisión
internet
world wide web
e-banking
Risco de mercado
Value at Risk
simulação de Monte Carlo.
description The Decision-Taking Support Systems could help in their user's decision-taking process. Banks are offering insurance, welfare state, investment calculation simulators among others, aiming at acquiring more clients and even maintain the existing ones. The goal of this article is to describe the simulators available in the sites of 20 major banks in Brazil, analyzing them according to the main components of a Decision-Taking Support System. This research is of exploratory-descriptive nature and the 78 simulators identified in the sites of the 20 major banks in Brazil were taken into consideration. Among the main results, it could be pointed out that the greatest number of simulators identified were those offering hints on investments, financing, personal credit line and welfare state.
publishDate 2013
dc.date.none.fl_str_mv 2013-12-11
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
scientific article
artículo científico
Avaliado pelos pares
artigo científico
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/44156
url https://seer.ufrgs.br/index.php/read/article/view/44156
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/44156/27738
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
dc.source.none.fl_str_mv Electronic Review of Administration; Vol. 8 No. 4 (2002): Edição 28 - Jul/Ago 2002
Revista Electrónica de Administración; Vol. 8 Núm. 4 (2002): Edição 28 - Jul/Ago 2002
Revista Eletrônica de Administração; v. 8 n. 4 (2002): Edição 28 - Jul/Ago 2002
1413-2311
1980-4164
reponame:REAd (Porto Alegre. Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str REAd (Porto Alegre. Online)
collection REAd (Porto Alegre. Online)
repository.name.fl_str_mv REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ea_read@ufrgs.br
_version_ 1799766204373532672

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