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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
Publicado em 07/08/2001 Português
Relevância na Pesquisa
56.12%
Nos últimos anos, o value-at-risk tem se tornado uma ferramenta amplamente utilizada nas principais instituições financeiras, inclusive no Brasil. Dentre suas vantagens, destaca-se a possibilidade de se resumir em um único número os riscos de mercado incorridos e incorporar neste valor tanto a exposição da instituição quanto a volatilidade do mercado. O objetivo principal deste estudo é verificar a eficácia dos modelos mais conhecidos de value-at-risk - RiskMetrics(TM) e Simulação Histórica - na mensuração dos riscos de mercado de carteiras de renda fixa compostas por instrumentos pré-fixados em reais. No âmbito da alocação de capital para atendimento aos órgãos de regulamentação, o estudo estende-se também ao modelo adotado pelo Banco Central do Brasil. No decorrer do estudo, discute-se ainda as vantagens e desvantagens apresentadas, bem como o impacto que as peculiaridades do mercado brasileiro exercem sobre as hipóteses assumidas em cada um dos modelos. ; Value-at-Risk (VaR) has become the primary tool for the systematic measuring and monitoring of market risk in most financial institutions. VaR is a statistical measure that comprises not only the exposure but also the market volatility in a single number. The main purpose of this work is to evaluate the performance of the well-known value-at-risk models - RiskMetrics(TM) and Historical Simulation - in the Brazilian fixed-income market. In the scope of capital allocation related to banking regulation...

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
Publicado em 17/10/2003 Português
Relevância na Pesquisa
66.17%
O risco de mercado pode ser entendido como o risco de perdas em decorrência de oscilações em variáveis econômicas e financeiras, como taxas de juros, taxas de câmbio, preços de ações e de commodities. A adequada evidenciação dos aspectos relacionados ao risco de mercado tem assumido importância crescente no sistema financeiro, por diversos fatores, como as crises financeiras de amplitude global, o desenvolvimento dos derivativos, os colapsos empresariais decorrentes de deficiências na gestão de riscos, e as exigências de capital em função dos riscos incorridos pelas instituições. O objetivo da pesquisa é verificar e analisar o grau de evidenciação, por parte das instituições financeiras com atuação no Brasil, quanto às questões relativas ao risco de mercado. Para a avaliação das informações prestadas, são utilizadas como parâmetro as recomendações de evidenciação do Comitê de Supervisão Bancária da Basiléia, bem como informações sobre as práticas de divulgação de instituições financeiras no mercado internacional, a partir de levantamentos realizados pelo BIS (Bank for International Settlements). Assim, questiona-se se as instituições financeiras com atuação no Brasil têm apresentado aderência aos padrões internacionais de evidenciação na área de risco de mercado. Os resultados obtidos com a pesquisa empírica...

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
Publicado em 17/04/2012 Português
Relevância na Pesquisa
56.13%
A legislação brasileira estabelece que o Estado tem a obrigação de preservar o equilíbrio econômico financeiro das concessões de serviços públicos. Assim o Estado deve garantir que as tarifas dessas concessões sejam capazes de cobrir os seus custos operacionais e ainda ofereçam um retorno justo para os agentes privados que nelas investiram. Nas concessões de distribuição de gás natural canalizado e de energia elétrica os reguladores brasileiros optaram por aplicar uma regulação baseada em incentivos, que se inspira no modelo inglês de regulação por preço teto. Esta opção regulatória fez com que a Agência Nacional de Energia Elétrica adicionasse à remuneração dos acionistas das concessionárias um prêmio de risco regulatório refletindo a diferença entre o risco das distribuidoras inglesas e o risco das norte americanas, pois as inglesas praticam uma forma de determinação de tarifas considerada mais arriscada que as norte americanas. Tal adição de retorno encontra amparo na teoria econômica, mas é questionada por estudos empíricos que mostram que a diferença entre os graus de risco do regime inglês e norte americano não é estatisticamente significativa. Nesta dissertação é testada a hipótese de que o grau de risco de mercado da regulação por preço teto é maior do que o da regulação por custo de serviço. Para tanto são usados dados de distribuidoras de gás natural e energia elétrica da Argentina...

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
Publicado em 29/06/2012 Português
Relevância na Pesquisa
56.04%
Para a existência de um sistema financeiro sólido e estável é essencial que as instituições financeiras gerenciem bem os seus riscos. A partir da publicação dos Acordos de Basileia, as autoridades supervisoras passaram a exigir a alocação de um capital regulamentar proporcional aos riscos incorridos por cada instituição. O capital regulamentar busca garantir a existência de recursos suficientes para a absorção de perdas inesperadas e seu cálculo considera os riscos de crédito, mercado e operacional. Para o gerenciamento do risco de mercado, as instituições utilizam modelos internos baseados em VaR - Value at Risk. Porém, algumas das parcelas do modelo padronizado adotado para o cálculo do capital regulamentar baseiam-se na metodologia Maturity Ladder. O primeiro modelo é mais sensível ao risco e varia conforme a volatilidade dos ativos. O segundo é menos sensível ao risco e baseia-se nos conceitos de Duration. O objetivo desse trabalho é a redefinição dos parâmetros utilizados no método Maturity Ladder de forma a aproximá-lo aos modelos baseados em VaR. Para a minimização das diferenças entre as metodologias foi utilizado um modelo de otimização baseado em Algoritmo Genético. Os resultados encontrados sugerem que os dois métodos não são totalmente comparáveis e a existência de casos extremos independentemente da escolha dos parâmetros.; For the existence of a solid and stable financial system is essential that the financial institutions manage their risks. Since the publication of the Basel Accords...

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
Tipo: Dissertação de Mestrado
Publicado em /05/2007 Português
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
Publicado em //2013 Português
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
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 14/12/2007 Português
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
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /10/2008 Português
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
Fonte: Universidade Nova de Lisboa Publicador: Universidade Nova de Lisboa
Tipo: Dissertação de Mestrado
Publicado em /01/2015 Português
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%
International bond markets have become an increasingly important source of long-term capital for infrastructure projects in emerging market economies over the past decade. The Ras Laffan Liquified Natural Gas (Ras Gas) project represents a milestone in this respect: its $1.2 billion bond offering, completed in December 1996, has been the largest for any international project. The Ras Gas project has the right to extract, process, and sell liquefied natural gas (LNG) from a field off the shore of Qatar. The principal off-taker is the Korea Gas Corporation (Kogas), which resells most of the LNG to the Korea Electric Power Corporation (Kepco) for electricity generation. In this clinical study the authors analyze the determinants of credit spreads for the Ras Gas project in terms of its contractual structure, with a view to better understanding the role of contract design in facilitating access to the global project bond market. Market risk perceptions have long been recognized to be a function of firm-specific variables...

Risk Shifting and Long-Term Contracts : Evidence from the Ras Gas Project

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
56.15%
Risk shifting and incomplete contracting lie at the heart of the agency relationship inherent in the procurement and financing of large-scale projects such as power plants, oil and gas pipelines, and liquefied natural gas (LNG) facilities. Resolving this agency problem is critical in structuring the nexus of long-term contracts--construction, operating, output sale, and financial contracts--commensurate with the project's underlying tehcnological and market organization. By investigating the Ras Gas bonds--the largest and most liquid global project bonds ever issued in an emerging market economy--the authors provide empirical evidence of the risk-shifting consequences of contractual incompleteness. They relate the credit spreads of Ras Gas bonds to the bond spreads of the Korea Electric Power Company (Kepco), the major customer, in the context of a 25-year supply agreement, the oil price index used to price the LNG, emerging debt market returns, and various systematic and unsystematic risk variables. Consistent with theoretical predictions...

Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008

Agudelo, Diego Alonso; Castaño, Milena
Fonte: Universidad EAFIT; Escuela de Economía y Finanzas Publicador: Universidad EAFIT; Escuela de Economía y Finanzas
Tipo: workingPaper; Documento de trabajo de investigación; draf
Português
Relevância na Pesquisa
56.03%
Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008’s World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.

Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries

Agudelo, Diego A.; Casta??o, Milena M.
Fonte: Universidad nacional de Colombia Publicador: Universidad nacional de Colombia
Tipo: article; info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Art??culo; publishedVersion
Português
Relevância na Pesquisa
56.03%
Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008 World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH-GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.

Risk assessment in airlines stocks market

Sato,Renato Cesar
Fonte: Sociedade Brasileira de Planejamento dos Transportes Publicador: Sociedade Brasileira de Planejamento dos Transportes
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/04/2013 Português
Relevância na Pesquisa
56.15%
In this paper we compared the results between stock portfolios of North American and European airlines. The model accesses the market risk using Value-at-Risk approach in both portfolios over one month period. The analysis was performed through the use of GARCH-EVT methods and Student's-t Copula with a Monte Carlo Simulation. The assets in the financial market usually present heavy tails in their probability distributions, so, a process capable to deal with this issue is crucial to measure the risk of loss. We analyzed the period from mid-2007 to mid-2012 to compose comparison between these two portfolios. The financial crisis of 2008 had a great impact in the North America market in relative to the European market. The central role of transport in the economy makes studies dealing with investment risk measure in this sector crucial for the industrial development. The volatility of risk in the airline market happens by internal and external motives and the methodological development of financial tools can offer an important contribution due the investment flux dependency.

Market risk modelling in Solvency II regime and hedging options not using underlying

Klusik, Przemys\law
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/05/2014 Português
Relevância na Pesquisa
56%
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: \begin{enumerate} \item calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC of the European Parliament and of the Council) when the market and non-market risk is present in insurance company. We show hot to find the minimal capital $V_0$ to provide with the one-year hedging strategy for insurance company satisfying $E\left[{\mathbf 1}_{\{V_1 \geq D\}}\right]=0.995$, where $V_1$ denotes the value of insurance company in one year time and $D$ is the payoff of the contract. \item finding a hedging strategy for derivative not using underlying but an asset with dynamics correlated or in some other way dependent (no deterministically) on underlying. The work is a genaralisation of the work of Klusik and Palmowski \cite{KluPal}. \end{enumerate} \medskip {\it Keywords:} quantile hedging, solvency II, capital modelling, hedging options on nontradable asset. \medskip

Computational Dynamic Market Risk Measures in Discrete Time Setting

Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/06/2013 Português
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
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/12/2011 Português
Relevância na Pesquisa
66.11%
This paper shows an assessment of the practice of market risk management among cooperatives in the state of Paraná (Brazil) and a study of the agricultural production portfolio of this state, taking into account the risk-return relationship. Using the Markowitz model along with an E-V analysis, an efficiency boundary was determined in which it was possible to verify what portfolio changes would be required to achieve economic efficiency (defined here as the trade-off between risk and return). Through questionnaires and interviews, an analysis was conducted of the cooperatives' willingness to encourage such changes in their portfolios and in the production of their members. It was also possible to assess the degree of importance ascribed to sources of market risk and to a set of strategies that could be adopted to deal with these risks. The overall goal of this study was to evaluate what might be the influence of the cooperatives on changing production preferences, in order to improve the risk-return relationship. The authors found that the main motives that might affect production decisions are related to economic and rational aspects, such as the cooperative's strategic focus and the resistance of its members. Motives related to political or social aspects...

Efficient tax planning: an analysis of its relationship with the market risk; Planificación fiscal eficiente: un análisis de su relación con el riesgo de mercado; Planejamento tributário eficiente: uma análise de sua relação com o risco de mercado

Vello, André; Martinez, Antonio Lopo; FUCAPE BUSINESS SCHOOL
Fonte: UFSC Publicador: UFSC
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 26/08/2014 Português
Relevância na Pesquisa
66.08%
This article shows if a good tax planning, promotes a reduction of market risk, when in presence of good corporate governance practices. From a sample of 86 publicly traded companies listed on the BOVESPA during a time lapse of 5 years is data panel of regressions in order to identify the variables that explain the market risk (beta). The results show the existence of a significant and negative relationship between market risk and the rate of efficient tax planning organizations, in companies with the best corporate governance practices.; En este artículo si muestra que una buena planificación fiscal, promueve una reducción del riesgo de mercado, cuando en presencia de prácticas de buen gobierno corporativo. De una muestra de 86 empresas que cotizan en bolsa que figuran en la BOVESPA, durante un lapso de tiempo de 5 años es de panel de datos de las regresiones a fin de identificar las variables que explican el riesgo de mercado (beta). Los resultados muestran la existencia de una relación significativa y negativa entre el riesgo de mercado y el tipo de organizaciones de planificación fiscal eficiente, en las empresas con las mejores prácticas de gobierno corporativo; http://dx.doi.org/10.5007/2175-8069.2014v11n23p117Este artigo evidencia se um bom planejamento tributário promove uma redução do risco de mercado...