Estimação do Value at Risk via enfoque bayesiano

dc.contributorLouzada Neto, Francisco
dc.contributorhttp://lattes.cnpq.br/0994050156415890
dc.contributorhttp://lattes.cnpq.br/3675095654301312
dc.creatorMarques, Felipe Tumenas
dc.date.accessioned2008-01-16
dc.date.accessioned2016-06-02T20:05:59Z
dc.date.available2008-01-16
dc.date.available2016-06-02T20:05:59Z
dc.date.created2008-01-16
dc.date.created2016-06-02T20:05:59Z
dc.date.issued2007-01-26
dc.identifierMARQUES, Felipe Tumenas. Value at Risk Estimation by a Bayesian Approach. 2007. 66 f. Dissertação (Mestrado em Ciências Exatas e da Terra) - Universidade Federal de São Carlos, São Carlos, 2007.
dc.identifierhttps://repositorio.ufscar.br/handle/ufscar/4511
dc.description.abstractThe continuous development of new financial instruments brings more and more investment options for market participants. These investment options also bring a bigger necessity to evaluate the risk embedded in these new financial instruments. Risk Analysis can be defined as an attempt to measure the uncertainty degree in the attainment of the expected return in a financial application and the standard measure to evaluate financial risk is the Value at Risk. This work aims to develop a new approach to estimate the Value at Risk, considering both the market data and the specialists´ opinion.
dc.publisherUniversidade Federal de São Carlos
dc.publisherBR
dc.publisherUFSCar
dc.publisherPrograma de Pós-Graduação em Estatística - PPGEs
dc.rightsAcesso Aberto
dc.subjectAnálise de risco
dc.subjectInferência bayesiana.
dc.subjectValue at Risk
dc.subjectMarket risk
dc.subjectBayesian inference
dc.titleEstimação do Value at Risk via enfoque bayesiano
dc.typeTesis


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