Measuring risk based on stable distributions: an examination of Latin American stock indexes

Detalhes bibliográficos
Autor(a) principal: Silva, André Luiz Carvalhal da
Data de Publicação: 2001
Outros Autores: Lemgruber, Eduardo Facó
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9201
Resumo: Indisponível.
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spelling Silva, André Luiz Carvalhal daLemgruber, Eduardo Facó2019-08-22T17:26:55Z2023-11-30T03:00:58Z2001SILVA, André Luiz Carvalhal da; LEMGRUBER, Eduardo Facó. Measuring risk based on stable distributions: an examination of Latin American stock indexes. Rio de Janeiro: UFRJ, 2001. 19 p. (Relatórios COPPEAD, 344).85750802611518-3335http://hdl.handle.net/11422/9201Indisponível.Accurate forecasting of risk is the key to sucessful risk management techniques. Given the fat-tailed characterisitic of financial returns, the assumptions of modeling these returns with the thin-tailed Gaussian distribution is inappropriate. In this paper a more accurate VaR estimate is tested using the “stable” or “α- stable” distribution, which allows for varying degrees of tail heaviness and varying degrees of skewness. Stable VaR measures are estimated and forecasted using the main Latin American stock market indexes. The results show that the stable modeling provides conservative 99% VaR estimates, while the normal VaR modeling significantly underestimates 99% VaR. The 95% VaR stable and normal estimates, using a window length of 50 observations, are satisfactory. However, increasing the window length to 125 and 250 observations worsens the stable and the normal VaR measurements.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-08-22T17:26:55Z No. of bitstreams: 1 RC_344-Comp..pdf: 171445 bytes, checksum: 3afe41decd2de636d59e436b8e1c9634 (MD5)Made available in DSpace on 2019-08-22T17:26:55Z (GMT). No. of bitstreams: 1 RC_344-Comp..pdf: 171445 bytes, checksum: 3afe41decd2de636d59e436b8e1c9634 (MD5) Previous issue date: 2001engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasAdministração de riscoWorking paperMeasuring risk based on stable distributions: an examination of Latin American stock indexesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report344abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJORIGINALRC_344-Comp..pdfRC_344-Comp..pdfapplication/pdf171445http://pantheon.ufrj.br:80/bitstream/11422/9201/1/RC_344-Comp..pdf3afe41decd2de636d59e436b8e1c9634MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9201/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD5211422/92012023-11-30 00:00:58.366oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:00:58Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv Measuring risk based on stable distributions: an examination of Latin American stock indexes
title Measuring risk based on stable distributions: an examination of Latin American stock indexes
spellingShingle Measuring risk based on stable distributions: an examination of Latin American stock indexes
Silva, André Luiz Carvalhal da
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Administração de risco
Working paper
title_short Measuring risk based on stable distributions: an examination of Latin American stock indexes
title_full Measuring risk based on stable distributions: an examination of Latin American stock indexes
title_fullStr Measuring risk based on stable distributions: an examination of Latin American stock indexes
title_full_unstemmed Measuring risk based on stable distributions: an examination of Latin American stock indexes
title_sort Measuring risk based on stable distributions: an examination of Latin American stock indexes
author Silva, André Luiz Carvalhal da
author_facet Silva, André Luiz Carvalhal da
Lemgruber, Eduardo Facó
author_role author
author2 Lemgruber, Eduardo Facó
author2_role author
dc.contributor.author.fl_str_mv Silva, André Luiz Carvalhal da
Lemgruber, Eduardo Facó
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Administração de risco
Working paper
dc.subject.por.fl_str_mv Finanças
Administração de risco
Working paper
description Indisponível.
publishDate 2001
dc.date.issued.fl_str_mv 2001
dc.date.accessioned.fl_str_mv 2019-08-22T17:26:55Z
dc.date.available.fl_str_mv 2023-11-30T03:00:58Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv SILVA, André Luiz Carvalhal da; LEMGRUBER, Eduardo Facó. Measuring risk based on stable distributions: an examination of Latin American stock indexes. Rio de Janeiro: UFRJ, 2001. 19 p. (Relatórios COPPEAD, 344).
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9201
dc.identifier.isbn.pt_BR.fl_str_mv 8575080261
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv SILVA, André Luiz Carvalhal da; LEMGRUBER, Eduardo Facó. Measuring risk based on stable distributions: an examination of Latin American stock indexes. Rio de Janeiro: UFRJ, 2001. 19 p. (Relatórios COPPEAD, 344).
8575080261
1518-3335
url http://hdl.handle.net/11422/9201
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
instacron:UFRJ
instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
bitstream.url.fl_str_mv http://pantheon.ufrj.br:80/bitstream/11422/9201/1/RC_344-Comp..pdf
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