Medidas de risco aplicadas a ativos brasileirosavaliação em três períodos de crise

Resumo

Two of the main market risk measures for financial assets are Value at Risk and Expected Shortfall. The objective of this work is to evaluate, through backtesting methods, which of them has the best ability to predict losses of financial assets during three periods of financial crisis in Brazil: the global financial crisis of 2008, the domestic political and economic crisis of 2014 to 2016 and the Covid-19 pandemic. To do this, we selected a set of assets among the most traded by Brazilian financial institutions: Ibovespa stock index, real/dollar exchange rate, fixed interest rate in reais, inflationindexed rate in reais and dollar-indexed rate. We calculate VaR and ES for each of the assets and for a hypothetical portfolio containing all of them. We calculate both measures using the normal parametric method (which assumes the normal distribution of asset returns) and the historical method (which uses the empirical distribution of returns). The results show that both measures performed poorly, with ES at a disadvantage compared to VaR. The performance of the historical method is better than the parametric method.

Ficha do documento

Tipo

Dissertação

Ano

2024

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/34845

Temas

Economia

Palavras-chave

Risco de mercadoValue at riskExpected shortfallMarket riskBacktestingEconomiaRisco (Economia)Ações (Finanças)Mercado financeiroCrises financeiras