Normality assumptions and risk management: an application of the parametric var via goodness-of-fit test

Revista Produção Online

Alexandre Sartoris Neto¹  Daisy Aparecida do Nascimento Rebelatto²  Herick Fernando Moralles² 

[1] Universidade Estadual Paulista júlio de Mesquita Filho - UNESP;Universidade de São Paulo - USP;

关键词: VaR (Valor-em-Risco) paramétrico. Normalidade. Kolmogorov-Smirnov.;   

DOI  :  10.14488/1676-1901.v14i2.1130

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown