Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

A crise econômica no Japão após os anos 90

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A evolução recente do setor bancário no Brasil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Entropia de Tsallis e sua aplicação em ações da Bolsa de Valores

Pós-graduação em Física - IGCE

Gestão estratégica de negócio e as tecnologias de informação: o caso do gerenciador financeiro do Banco do Brasil

Pós-graduação em Ciência da Informação - FFC

Crise financeira: o caso japonês

This paper aims to analyze the experience of Japan after the collapse of speculative bubbles in assets and the banking crisis in the 1990s. An analysis about the effectiveness of fiscal and monetary policy is conducted and the measures taken with respect to the banking sector are also discussed in this paper. The Japanese financial crisis experience suggests that the nature, speed and order in which the government implements measures determine, in large part, the magnitude and cost of the crisis. Therefore, in hindsight, it can be said that the following tasks were necessary: 1) recapitalize the banking sector; 2) restore credit; and 3) reinvigorate the economic activity through appropriate fiscal measures.