Measuring risk based on stable distributions: an examination of Latin American stock indexes
Autor(a) principal: | |
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Data de Publicação: | 2001 |
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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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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:11422/9201TElDRU7Dh0EgTsODTy1FWENMVVNJVkEgREUgRElTVFJJQlVJw4fDg08KCkFvIGFzc2luYXIgZSBlbnRyZWdhciBlc3RhIGxpY2Vuw6dhLCB2b2PDqihzKSBvKHMpIGF1dG9yKGVzKSBvdSBwcm9wcmlldMOhcmlvKHMpIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBjb25jZWRlKG0pIGFvIFJlcG9zaXTDs3JpbyBQYW50aGVvbiBkYSBVbml2ZXJzaWRhZGUgRmVkZXJhbCBkbyBSaW8gZGUgSmFuZWlybyAoVUZSSikgbyBkaXJlaXRvIG7Do28gLSBleGNsdXNpdm8gZGUgcmVwcm9kdXppciwgY29udmVydGVyIChjb21vIGRlZmluaWRvIGFiYWl4byksIGUvb3UgZGlzdHJpYnVpciBvIGRvY3VtZW50byBlbnRyZWd1ZSAoaW5jbHVpbmRvIG8gcmVzdW1vKSBlbSB0b2RvIG8gbXVuZG8sIGVtIGZvcm1hdG8gZWxldHLDtG5pY28gZSBlbSBxdWFscXVlciBtZWlvLCBpbmNsdWluZG8sIG1hcyBuw6NvIGxpbWl0YWRvIGEgw6F1ZGlvIGUvb3UgdsOtZGVvLgoKVm9jw6ogY29uY29yZGEgcXVlIGEgVUZSSiBwb2RlLCBzZW0gYWx0ZXJhciBvIGNvbnRlw7pkbywgdHJhZHV6aXIgYSBhcHJlc2VudGHDp8OjbyBkZSBxdWFscXVlciBtZWlvIG91IGZvcm1hdG8gY29tIGEgZmluYWxpZGFkZSBkZSBwcmVzZXJ2YcOnw6NvLgoKVm9jw6ogdGFtYsOpbSBjb25jb3JkYSBxdWUgYSBVRlJKIHBvZGUgbWFudGVyIG1haXMgZGUgdW1hIGPDs3BpYSBkZXNzYSBzdWJtaXNzw6NvIHBhcmEgZmlucyBkZSBzZWd1cmFuw6dhLCBiYWNrLXVwIGUgcHJlc2VydmHDp8OjbyBkaWdpdGFsLgoKRGVjbGFyYSBxdWUgbyBkb2N1bWVudG8gZW50cmVndWUgw6kgc2V1IHRyYWJhbGhvIG9yaWdpbmFsLCBlIHF1ZSB2b2PDqiB0ZW0gbyBkaXJlaXRvIGRlIGNvbmNlZGVyIG9zIGRpcmVpdG9zIGNvbnRpZG9zIG5lc3RhIGxpY2Vuw6dhLiBWb2PDqiB0YW1iw6ltIGRlY2xhcmEgcXVlIGEgc3VhIGFwcmVzZW50YcOnw6NvLCBjb20gbyBtZWxob3IgZGUgc2V1cyBjb25oZWNpbWVudG9zLCBuw6NvIGluZnJpbmdpIGRpcmVpdG9zIGF1dG9yYWlzIGRlIHRlcmNlaXJvcy4KClNlIG8gZG9jdW1lbnRvIGVudHJlZ3VlIGNvbnTDqW0gbWF0ZXJpYWwgZG8gcXVhbCB2b2PDqiBuw6NvIHRlbSBkaXJlaXRvcyBkZSBhdXRvciwgZGVjbGFyYSBxdWUgb2J0ZXZlIGEgcGVybWlzc8OjbyBpcnJlc3RyaXRhIGRvIGRldGVudG9yIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBlIGNvbmNlZGUgYSBVRlJKIG9zIGRpcmVpdG9zIHJlcXVlcmlkb3MgcG9yIGVzdGEgbGljZW7Dp2EsIGUgcXVlIGVzc2UgbWF0ZXJpYWwgZGUgcHJvcHJpZWRhZGUgZGUgdGVyY2Vpcm9zIGVzdMOhIGNsYXJhbWVudGUgaWRlbnRpZmljYWRvIGUgcmVjb25oZWNpZG8gbm8gdGV4dG8gb3UgY29udGXDumRvIGRhIHN1Ym1pc3PDo28uCgpTZSBvIGRvY3VtZW50byBlbnRyZWd1ZSDDqSBiYXNlYWRvIGVtIHRyYWJhbGhvIHF1ZSBmb2ksIG91IHRlbSBzaWRvIHBhdHJvY2luYWRvIG91IGFwb2lhZG8gcG9yIHVtYSBhZ8OqbmNpYSBvdSBvdXRybyhzKSBvcmdhbmlzbW8ocykgcXVlIG7Do28gYSBVRlJKLCB2b2PDqiBkZWNsYXJhIHF1ZSBjdW1wcml1IHF1YWxxdWVyIGRpcmVpdG8gZGUgUkVWSVPDg08gb3UgZGUgb3V0cmFzIG9icmlnYcOnw7VlcyByZXF1ZXJpZGFzIHBvciBjb250cmF0byBvdSBhY29yZG8uCgpBIFVGUkogaXLDoSBpZGVudGlmaWNhciBjbGFyYW1lbnRlIG8ocykgc2V1KHMpIG5vbWUocykgY29tbyBhdXRvcihlcykgb3UgcHJvcHJpZXTDoXJpbyhzKSBkYSBzdWJtaXNzw6NvLCBlIG7Do28gZmFyw6EgcXVhbHF1ZXIgYWx0ZXJhw6fDo28sIHBhcmEgYWzDqW0gZGFzIHBlcm1pdGlkYXMgcG9yIGVzdGEgbGljZW7Dp2EsIG5vIGF0byBkZSBzdWJtaXNzw6NvLgo=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) |
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UFRJ |
institution |
UFRJ |
reponame_str |
Repositório Institucional da UFRJ |
collection |
Repositório Institucional da UFRJ |
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