African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4129

Full Length Research Paper

Value-at-risk in times of crisis: An analysis in the Brazilian market

Luiz Eduardo Gaio
  • Luiz Eduardo Gaio
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto ? FEA-RP Universidade de São Paulo ? USP, Brazil.
  • Google Scholar
Tabajara Pimenta Junior
  • Tabajara Pimenta Junior
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto ? FEA-RP Universidade de São Paulo ? USP, Brazil.
  • Google Scholar
Fabiano Guasti Lima
  • Fabiano Guasti Lima
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto ? FEA-RP Universidade de São Paulo ? USP, Brazil.
  • Google Scholar
Carlos Alberto Grespan Bonacim
  • Carlos Alberto Grespan Bonacim
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto ? FEA-RP Universidade de São Paulo ? USP, Brazil.
  • Google Scholar


  •  Received: 15 January 2015
  •  Accepted: 20 February 2015
  •  Published: 14 March 2015

Abstract

The present study aimed at evaluating the predictive ability of the models of market risk estimation in times of financial crises. To this end, models were tested to estimate the financial indicator Value-at-Risk (VaR) applied to the daily returns of the BM&FBovespa, the Ibovespa index. Traditional models and those based on the Extreme Value Theory (EVT), considered as two types of distribution, the Generalized Extreme Value (GEV) and generalized Pareto distribution (GPD) were tested. The data relating to two periods of international financial crises termed the 1997 Asian Financial Crisis and the U.S. Subprime Meltdown in 2008 were explored in the study. The results indicated the inefficiency of most statistical models for VaR estimation in moments of high volatility for both periods of crisis. In contrast, the exception refers to the model based on EVT, GPD distribution that proved satisfactory in the estimates in both periods of crisis. The results are in agreement with other studies in the field.

 

Key words: Value-at-risk, IBovespa, Extreme Value Theory (EVT).