Página 1 dos resultados de 7644 itens digitais encontrados em 0.020 segundos

## Estudo comparativo dos modelos de value-at-risk para instrumentos pré-fixados.; A comparative study of value-at-risk models for fixed rate instruments.

Sain, Paulo Kwok Shaw
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Relevância na Pesquisa
56.12%

## Evidenciação contábil do risco de mercado por instituições financeiras no Brasil. ; Market Risk Disclosure by Financial Institutions in Brazil.

Goulart, André Moura Cintra
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Relevância na Pesquisa
66.17%

## Modelo Regulatório e risco de mercado: uma comparação entre as empresas de distribuição de gás e energia elétrica norte americanas e suas congêneres no Brasil, Chile e Argentina; Regulatory model and market risk: a comparison between the distribution companies of gas and electricity and their North American counterparts in Brazil, Chile and Argentina

Pauperio, Marco Antonio Luz
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Relevância na Pesquisa
56.13%

## Mensuração do capital regulamentar para risco de mercado através das metologias VaR e Maturity Ladder : minimização das diferenças; Measurement of regulatory capital for market risk through VaR and Maturity Ladder methodologies : minimization of the differences

Livia Bastos Gratz
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Relevância na Pesquisa
56.04%

## Volatility forecasts and value-at-risk estimation using TGARCH model

Ruivo, Sandra Cristina Rosa
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Relevância na Pesquisa
56.03%
Mestrado em Finanças; Value-at-Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk, mainly the market risk, of financial portfolios. It measures the worst loss to be expected of a portfolio over a given time horizon at a given level of confidence. The calculation of Value-at-Risk commonly, involves estimation of the volatility return price and quantile of standardized returns. In this paper, two parametric techniques were used to estimate the volatility of the returns (market prices) of a Portuguese Financial Institution portfolio. Although to achieve the quantiles of standardized returns, both parametric technique and one nonparametric technique were considered. The quality of the measuring result was analysed through the backtesting technique for the forecasting multiperiod. In this study it is revealed that AR(1)-TGARCH methodology produces the most accurate VaR forecast, for one day holding period. The volatility forecasts for the two other holding periods, considering the three methodologies, revealed to be biased.

## Regulating Market Risk in Banks : The Options

Stephanou, Constantinos
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
66.16%
Regulators concerned about the costs of bank insolvency and of systemic risk arising from the volatility of bank trading portfolios have developed three different approaches to setting risk-based minimum capital adequacy standards for market risk. The author evaluates those three approaches--building blocs, internal models, and precommitment--and assesses their possible implications for bank capital, competition, and pricing decisions.

## Market Risk Transfer

Anderson, Phillippe R.D.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
56.11%
The author argues that fiscal risks stemming from volatility in interest rates, exchange rates, commodity prices, and weather and geologic risks can be mitigated by transferring a portion of those risks to the market. Market risk transfer complements risk reduction measures (such as development of local capital markets and diversified production) and self-insurance, particularly in cases where balance sheet flows remain specifically exposed to market rates and movements, and when high cost, low-probability events present the risk of an economic or financial shock that cannot be absorbed internally. National risk management has tended to start with a focus on debt management and the need to evaluate and manage refinancing, interest rate, and currency risks. Recently, a number of countries—such as such as Mexico, Colombia, and Chile—have begun to take a more holistic view about sovereign risk management, now taking into consideration risks associated with commodity price shocks and natural disasters.

## Computational dynamic market risk measures in discrete time setting

Seck, B.; Elliott, R.; Gueyie, J.P.
Fonte: Inderscience Publishers Publicador: Inderscience Publishers
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
56.08%
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.; Babacar Seck, Robert J. Elliott, Jean-Pierre Gueyie

## Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Relevância na Pesquisa
66.22%
In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an important indicator of the behavior of buyers and sellers and their views on the market spanning between short-term and long-term horizons. We show that under certain assumptions it is possible to derive explicit solutions that link levels of risk aversion and market power with market prices of risk and the market risk premium. We apply our model to the German electricity market and show that the market risk premium exhibits a term structure which can be explained by the combination of two factors. Firstly, the levels of risk aversion of buyers and sellers, and secondly, how the market power of producers, relative to that of buyers, affects forward prices with different delivery periods

## Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Relevância na Pesquisa
66.22%
In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an important indicator of the behavior of buyers and sellers and their views on the market spanning between short-term and long-term horizons. We show that under certain assumptions it is possible to derive explicit solutions that link levels of risk aversion and market power with market prices of risk and the market risk premium. We apply our model to the German electricity market and show that the market risk premium exhibits a term structure which can be explained by the combination of two factors. Firstly, the levels of risk aversion of buyers and sellers, and secondly, how the market power of producers, relative to that of buyers, affects forward prices with different delivery periods

## Market risk charge of the trading book: a comparison of the Basel II and Basel III

Brito, Flávia manique
Relevância na Pesquisa
55.99%
This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.; UNL - NSBE

## Contract Risks and Credit Spread Determinants in the International Project Bond Market

Dailami, Mansoor; Hauswald, Robert
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
56.17%

## Computational Dynamic Market Risk Measures in Discrete Time Setting

Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
56.05%
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties from static market risk measures.; Comment: 16 pages, 3 figures

## Portfolio de produção agropecuária e gestão de riscos de mercado nas cooperativas do agronegócio paranaense; Cartera de producción agropecuaria y gestión de riesgos de mercado en las cooperativas de comercio agropecuario del estado de Paraná; Portfolio of farm production and market risk management in agribusiness cooperatives of Paraná

Moreira, Vilmar Rodrigues; Barreiros, Reginaldo Ferreira; Protil, Roberto Max
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf