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Modelos ortogonais para a estimativa multivariada de VAR (Value-at-risk) para risco de mercado: um estudo de caso comparativo

Author

Listed:
  • João Luiz Chela

    (Universidade Presbiteriana Mackenzie (UPM))

  • Jean Carlos Abrahão

    (Banco Itau)

  • Luiz Fernando Ohara Kamogawa

    (Universidade Presbiteriana Mackenzie)

Abstract

The main approach of the present study is to empirically explore different approaches to estimate the multivariate distribution of market risk factors with a greater emphasis on orthogonal models. It has been explored five different models: 1. the dynamical conditional correlation models (DCC); 2. the principal component model (better the traditional RiskMetrics EWMA with 0.94 decay factor; 3. optimized GARCH with EWMA 0.94 on the correlation; and 4. an approach for extreme values distributions. The results indicate a better performance of principal component model.

Suggested Citation

  • João Luiz Chela & Jean Carlos Abrahão & Luiz Fernando Ohara Kamogawa, 2011. "Modelos ortogonais para a estimativa multivariada de VAR (Value-at-risk) para risco de mercado: um estudo de caso comparativo," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 9(1), pages 70-92, january-a.
    • Handle: RePEc:aft:journl:v:9:1:2011:jan:apr:p:70-92
    DOI: -
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