Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test
Given the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, the distribution to be used for the VaR calculation of a specific asset or por...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade Federal de Santa Catarina
2014-05-01
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| Series: | Revista Produção Online |
| Subjects: | |
| Online Access: | http://producaoonline.org.br/rpo/article/view/1130 |
| _version_ | 1818511981790887936 |
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| author | Herick Fernando Moralles Alexandre Sartoris Neto Daisy Aparecida do Nascimento Rebelatto |
| author_facet | Herick Fernando Moralles Alexandre Sartoris Neto Daisy Aparecida do Nascimento Rebelatto |
| author_sort | Herick Fernando Moralles |
| collection | DOAJ |
| description | Given the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, the distribution to be used for the VaR calculation of a specific asset or portfolio is indicated by the Kolmogorov-Smirnov goodness-of-fit test. Additionally, the study compares the normality assumptions applicability for the VaR calculation of both individual assets, and to a large portfolio, in the context of market stability. The experiment makes use of a sample of 15 individual assets traded in the Sao Paulo Stock Exchange and the IBOVESPA index, collected in the Economática® database. The goodness-of-fit tests and VaR calculations are performed by a program developed in MATLAB7.1®. This investigation demonstrates that the assumption of normality brings good risk estimates for large portfolios and individual assets. |
| first_indexed | 2024-12-10T23:40:23Z |
| format | Article |
| id | doaj.art-acdb61f7ad214bf79bd3bb2196755c74 |
| institution | Directory Open Access Journal |
| issn | 1676-1901 |
| language | English |
| last_indexed | 2024-12-10T23:40:23Z |
| publishDate | 2014-05-01 |
| publisher | Universidade Federal de Santa Catarina |
| record_format | Article |
| series | Revista Produção Online |
| spelling | doaj.art-acdb61f7ad214bf79bd3bb2196755c742022-12-22T01:29:03ZengUniversidade Federal de Santa CatarinaRevista Produção Online1676-19012014-05-0114243044710.14488/1676-1901.v14i2.1130601Normality assumptions and risk management: an application of the parametric var via goodness-of-fit testHerick Fernando Moralles0Alexandre Sartoris Neto1Daisy Aparecida do Nascimento Rebelatto2Universidade de São Paulo - USPUniversidade Estadual Paulista júlio de Mesquita Filho - UNESPUniversidade de São Paulo - USPGiven the weaknesses of the parametric VaR (Value-at-Risk) calculated by normality assumptions, this paper develops a method of parametric VaR calculation considering ten different probability distributions. Specifically, the distribution to be used for the VaR calculation of a specific asset or portfolio is indicated by the Kolmogorov-Smirnov goodness-of-fit test. Additionally, the study compares the normality assumptions applicability for the VaR calculation of both individual assets, and to a large portfolio, in the context of market stability. The experiment makes use of a sample of 15 individual assets traded in the Sao Paulo Stock Exchange and the IBOVESPA index, collected in the Economática® database. The goodness-of-fit tests and VaR calculations are performed by a program developed in MATLAB7.1®. This investigation demonstrates that the assumption of normality brings good risk estimates for large portfolios and individual assets.http://producaoonline.org.br/rpo/article/view/1130VaR (Valor-em-Risco) paramétrico. Normalidade. Kolmogorov-Smirnov. |
| spellingShingle | Herick Fernando Moralles Alexandre Sartoris Neto Daisy Aparecida do Nascimento Rebelatto Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test Revista Produção Online VaR (Valor-em-Risco) paramétrico. Normalidade. Kolmogorov-Smirnov. |
| title | Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test |
| title_full | Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test |
| title_fullStr | Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test |
| title_full_unstemmed | Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test |
| title_short | Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test |
| title_sort | normality assumptions and risk management an application of the parametric var via goodness of fit test |
| topic | VaR (Valor-em-Risco) paramétrico. Normalidade. Kolmogorov-Smirnov. |
| url | http://producaoonline.org.br/rpo/article/view/1130 |
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