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Uma comparação dos modelos de Value at Risk aplicados em carteiras de renda fixa MESTRADO EM ADMINISTRAÇÃO

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L

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L

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(52)

= /

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5

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(53)

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(54)

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(55)

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L

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-> 3 - &

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(56)

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(57)

% = A

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(58)

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0

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3

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% =

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(59)

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(60)

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(61)

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(62)

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(63)

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(64)

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(65)

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L

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(66)

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. ! Q! @ RQ ! !8! 8?Q 58

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& F & 9$ "$ 6 "$ % +

A % = /

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3 &

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(67)

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(68)

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2

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9 % P!??Q % 3 ; 3 9

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QL F 0

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.

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) "$ $ H

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(70)

= M ;

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(71)

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(72)

4 EAF

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(73)

< R F / B C

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(74)

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: . / [ %

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B C

: 8[ B C

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% / B C % =

(75)

) "$ $ H

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Q 8J

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(76)

-D / B C

9 % = % 2

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3 ?J

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(77)

? & ; - , /

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(78)

' . %

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9 % P!?? : . / 3

(79)

G 5 . / / %

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% = !?? / ??

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(80)

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% = [

G .

8[ ? 5

) & "$ $ H &

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(81)

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(82)

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(83)

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(85)

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(86)

D . / B C

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(87)

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% = M . /

2 B C

(88)

, < - /1I-< . / <

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/

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=

F F 3 / 6

% . B C

% = 9 ; :

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[ ( 9 % = !??

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(89)

< % = . / /

9 3 - &!??, 2 /

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/

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(90)

/ / .

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(91)

E @ @= > /. /

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0 - ( J/

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<'DC<D C M L " CC (C< E " C < J

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P

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!! G !??

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(92)

D<M M J $ # # % % 6 ) .

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5

DAKD $ @ M 6 $" JJ % 7 # K

M 3J G % K T O M R

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% # J 0

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(93)

6< *CW 6 " 6 $" J 36 4 "

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% ! " $ J . 8 R @ ! Q.!! !??5

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(94)

M<C+AC(M < - ; " H c M : J M !??@

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(95)
(96)
(97)
(98)
(99)
(100)
(101)
(102)
(103)
(104)
(105)
(106)
(107)
(108)
(109)
(110)
(111)
(112)

! "# $ %&

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(113)

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(123)

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