Please use this identifier to cite or link to this item:
Type: Relatório
Title: Measuring risk based on stable distributions: an examination of Latin American stock indexes
Author(s)/Inventor(s): Silva, André Luiz Carvalhal da
Lemgruber, Eduardo Facó
Abstract: Indisponível.
Abstract: Accurate forecasting of risk is the key to sucessful risk management techniques. Given the fat-tailed characterisitic of financial returns, the assumptions of modeling these returns with the thin-tailed Gaussian distribution is inappropriate. In this paper a more accurate VaR estimate is tested using the “stable” or “α- stable” distribution, which allows for varying degrees of tail heaviness and varying degrees of skewness. Stable VaR measures are estimated and forecasted using the main Latin American stock market indexes. The results show that the stable modeling provides conservative 99% VaR estimates, while the normal VaR modeling significantly underestimates 99% VaR. The 95% VaR stable and normal estimates, using a window length of 50 observations, are satisfactory. However, increasing the window length to 125 and 250 observations worsens the stable and the normal VaR measurements.
Keywords: Finanças
Administração de risco
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 344
Issue Date: 2001
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 8575080261
ISSN: 1518-3335
Citation: SILVA, André Luiz Carvalhal da; LEMGRUBER, Eduardo Facó. Measuring risk based on stable distributions: an examination of Latin American stock indexes. Rio de Janeiro: UFRJ, 2001. 19 p. (Relatórios COPPEAD, 344).
Appears in Collections:Relatórios

Files in This Item:
File Description SizeFormat 
RC_344-Comp..pdf167.43 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.