Publicação
VaR adjusted to business and financial cycles
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Ribeiro, Gonçalo Sommer | |
| dc.contributor.author | Vicente, Daniel Alberto Amaral | |
| dc.date.accessioned | 2020-10-21T12:53:29Z | |
| dc.date.available | 2020-10-21T12:53:29Z | |
| dc.date.issued | 2020-01-22 | |
| dc.date.submitted | 2020-01-03 | |
| dc.description.abstract | Value-at-Risk is an important risk measurement tool. However, since the Subprime crisis there have been claims that it is an ineffective measure of risk. This paper shows that VaR breaks occur much more often in periods of recessions compared to expansions. By using business and financial cycle theory, an economic indicator (MOI) was created to assess when the economy was approaching a recession. Using the MOI indicator, several models were created to adjust the volatility according to business cycle conditions. Results confirm the effectiveness of using volatility adjusted to business and financial cycles as an input for a VaR model. | pt_PT |
| dc.identifier.tid | 202494764 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/105988 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | Nova School of Business and Economics | |
| dc.subject | Value-at-risk | pt_PT |
| dc.subject | Business cycles | pt_PT |
| dc.subject | Volatility models | pt_PT |
| dc.subject | Adjusted volatility | pt_PT |
| dc.title | VaR adjusted to business and financial cycles | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | UID/ECO/00124/2013 | |
| oaire.awardTitle | Nova School of Business and Economics | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UID%2FECO%2F00124%2F2013/PT | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| relation.isProjectOfPublication | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| relation.isProjectOfPublication.latestForDiscovery | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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