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Abstract(s)
O presente trabalho tem como objetivo calcular o risco (total) para um investidor com uma carteira de ativos composta pelos bancos portugueses cotados na Euronext Lisbon, utilizando series de cotações históricas para o período de 2000 até ao presente, de modo a averiguar se verificaram alterações no risco da carteira com a crise de 2008 ou se as alterações introduzidas no setor contribuíram para a diminuição do risco (total). Para calcular esse risco recorre-se à metodologia Value-at-risk (VaR) através da Simulação Histórica e o Método de Monte Carlo.
O VaR é uma medida de risco financeiro, definida como a perda máxima em valor que uma carteira de ativos pode gerar, num determinado horizonte de tempo e com um nível de confiança pré-estabelecido. Segundo Jorion (2000), o VaR sintetiza a maior perda esperada num determinado período de tempo e num intervalo de confiança.
Visto que o País ainda se encontra a recuperar de uma crise financeira, que teve o seu momento mais “alto” em 2008 e afetou drasticamente os bancos portugueses, este trabalho propõe que seja calculado o risco (total) para o investidor antes do início da crise financeira e também no momento atual. Tem-se ainda como objetivo verificar se as alterações introduzidas no setor, pelas entidades supervisoras e em especial pelo Basileia III, como resultado da crise de 2008 tornaram os bancos mais sólidos e por sua vez se viu diminuído o risco para o investidor.
This study aims to calculate the risk (total) for an investor with a portfolio of assets made up by Portuguese banks listed on Euronext Lisbon, using series of historical quotations for the period 2000 to the present, in order to ascertain if no changes the risk of the portfolio with the crisis of 2008 or the changes in the sector contributed to the decreased risk (total). To calculate this risk refers to the Value-at-Risk (VaR) methodology through the Historical Simulation and Monte Carlo method. The VaR (value-at-risk) is a financial risk measure, defined as the maximum loss in value that a portfolio of assets can generate in a given time horizon and with a pre-established level of confidence. According Jorion (2000), VaR synthesizes the highest expected loss in a given time period and a confidence interval. Since the country is still recovering from a financial crisis that had its “highest” moment in 2008 and dramatically affected the Portuguese banks, this paper proposes to calculate the risk (total) to the investor before the financial crisis and also at the present time. Thus, it is also this research’s goal verify whether the changes in the sector, the supervisory bodies and in particular by Basel III, as a result of the 2008 crisis, made the most solid banks and in turn saw decreased the risk for the investor.
This study aims to calculate the risk (total) for an investor with a portfolio of assets made up by Portuguese banks listed on Euronext Lisbon, using series of historical quotations for the period 2000 to the present, in order to ascertain if no changes the risk of the portfolio with the crisis of 2008 or the changes in the sector contributed to the decreased risk (total). To calculate this risk refers to the Value-at-Risk (VaR) methodology through the Historical Simulation and Monte Carlo method. The VaR (value-at-risk) is a financial risk measure, defined as the maximum loss in value that a portfolio of assets can generate in a given time horizon and with a pre-established level of confidence. According Jorion (2000), VaR synthesizes the highest expected loss in a given time period and a confidence interval. Since the country is still recovering from a financial crisis that had its “highest” moment in 2008 and dramatically affected the Portuguese banks, this paper proposes to calculate the risk (total) to the investor before the financial crisis and also at the present time. Thus, it is also this research’s goal verify whether the changes in the sector, the supervisory bodies and in particular by Basel III, as a result of the 2008 crisis, made the most solid banks and in turn saw decreased the risk for the investor.
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Keywords
Value at Risk VaR Paramétrico Simulação histórica