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Master's Dissertation
DOI
10.11606/D.12.2002.tde-12052007-105921
Document
Author
Full name
Rafael Paschoarelli Veiga
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2002
Supervisor
Committee
Securato, Jose Roberto (President)
Oliveira, Edson Ferreira de
Ribeiro, Celma de Oliveira
Title in Portuguese
Um modelo de dois fatores para o cálculo do VaR de uma carteira de renda fixa
Keywords in Portuguese
Renda Fixa
Risco
Títulos Públicos
VaR
Abstract in Portuguese
Cálculo do VaR de uma Carteira de Renda Fixa composta por LTNs utilizando modelo de fatores.
Title in English
A 2-Factor Model for Value at Risk (VaR)
Keywords in English
Market Risk
VaR
Abstract in English
Market risk monitoring through Value at Risk is a task undertaken by almost all financial institutions in Brasil due to the regulatory environment set by Banco Central. However, VaR calculations of a portfolio of investments can get quite complicated involving the calculation of matrixes. One must bear in mind that the matrix dimensions increases geometricaly as the number of assets of the portfolio increases. This reality is a fertile soil for researchers to find simpler methodologies for VaR calculations. The proposed framework in this work shows a simpler methodology for VaR calculations of fixed income portfolios of government securities.
 
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Disse0075.pdf (1.93 Mbytes)
Publishing Date
2007-05-16
 
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