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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.2010.tde-12082010-170625
Document
Author
Full name
Francyelle de Lima e Silva
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2010
Supervisor
Committee
Toloi, Clelia Maria de Castro (President)
Alencar, Airlane Pereira
Bortoluzzo, Adriana Bruscato
Title in Portuguese
Estimação de medidas de risco utilizando modelos CAViaR e CARE
Keywords in Portuguese
Expected Shortfall
Expectil
Modelos CARE.
Modelos CAViaR
Quantil
Teoria dos Valores Extremos
Valor em Risco
Abstract in Portuguese
Neste trabalho são definidos, discutidos e estimados o Valor em Risco e o Expected Shortfall. Estas são medidas de Risco Financeiro de Mercado muito utilizadas por empresas e investidores para o gerenciamento do risco, aos quais podem estar expostos. O objetivo foi apresentar e utilizar vários métodos e modelos para a estimação dessas medidas e estabelecer qual o modelo mais adequado dentro de determinados cenários.
Title in English
Risk measures estimation using CAViaR and CARE models.
Keywords in English
CARE Models.
CAViaR Models
Expected Shortfall
Expectile
Extreme Value Theory
Quantile
Value at Risk
Abstract in English
In this work Value at Risk and Expected Shortfall are defined, discussed and estimated . These are measures heavily used in Financial Market Risk, in particular by companies and investors to manage risk, which they may be exposed. The aim is to present and use several methods and models for estimating those measures and to establish which model is most appropriate in certain scenarios.
 
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Francyelle.pdf (5.12 Mbytes)
Publishing Date
2013-03-26
 
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