Gestão dinâmica do risco de mercado com modelo Cópula-GARCH

• Ano de defesa: 2013
• Autor(a) principal: Righi, Marcelo Brutti
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Santa Maria; BR; Administração; UFSM; Programa de Pós-Graduação em Administração
• Palavras-chave em Português: Gestão do risco; Cópulas; Quebra estrutural; Portfolio dinâmico; Simulação numérica; Risk management; Copulas; Structural change; Dynamic portfolio; Numerical simulation; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: http://repositorio.ufsm.br/handle/1/4625

The present work aims to analyze the market risk management copula-GARCH model approach efficiency. To that we use data referent to daily prices of North American, German, Australian, Brazilian, Hong Kong and South African markets, considering the period from July 2002 to June 2012, totalizing ten years of observations. Results allow to conclude that there are volatility clusters along series during sub-prime and Eurozone debt crises. Developed markets present lower general oscillation levels than emerging ones. There was gradual increment in analyzed markets pair to pair dynamic correlation levels, with general levels between 0.3 and 0.6. Computed dynamic VaRs followed returns evolution, not exceeding the expect number of violations, unlike static VaR estimates. Developed markets present rising on optimal hedge ratios starting on sub-prime crisis, while for emerging markets many ratios maintain at same levels. Static ratios did not follow markets evolution. It is identified predominance of the Student t copula on risk and return relationships. However it is not possible to infer existence of an explicit association. Structural change tests indicated breaks in volatility at sub-prime crisis begin, while for correlations there is not homogeneity for breaks or dates. There are patterns on participations which are not followed by markets composed portfolio static weights. During all sample period the dynamic portfolio volatility was less than static one, especially in turbulent periods, with reductions up to 50%. Tests reveal that volatility obtained with Copula-GARCH based strategy is less than those referent to static and dynamic DCC-GARCH approaches.