Since 2014
Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates
Brazilian Review of Finance
View Archive Info| Field | Value | |
| Title |
Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates
Avaliando Drawdown-at-Risk nas Taxas de Câmbio do Real |
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| Creator |
Brandi, Vinicius Ratton; Banco Centra do Brasil
Mendes, Beatriz Vaz de Melo; Instituto de Matemática, Universidade Federal do Rio de Janeiro |
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| Subject |
Business; Statistics
foreign exchange risk; drawdowns; drawdown-at-risk C52; G10; G15 Administração Financeira; Estatística risco cambial; drawdowns; drawdown-at-risk C52; G10; G15 |
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| Description |
The investigation of the stochastic behavior of financial series has become widespread over the literature. There is empirical and theoretical evidence that the total stock price change over a long period is usually concentrated in the a few hectic runs of trading days. The drawdown is a random variable which provides information on alternative characteristics of market behavior during these periods. In this work, we use distributions from extreme value theory to model the severity of drawdowns and drawups. We illustrate using nine currency exchange rates and gold.
A investigação do comportamento estocástico das séries financeiras tornou-se bastante difundida na literatura acadêmica. Há evidências empíricas e teóricas de que as variações nos preços dos ativos observadas em um longo período, normalmente, encontram-se concentradas em poucos e turbulentos dias. O drawdown é uma variável aleatória que fornece informação adicional a respeito das características de mercado durante estes dias. Neste trabalho, usamos distribuições de valores extremos para modelar a severidade dos drawdowns e dos drawups obtidos a partir das séries históricas de nove taxas de câmbio e do ouro. |
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| Publisher |
Link to the Brazilian Society of Finance
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| Contributor |
—
— |
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| Date |
2004-12-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Double blind reviewed articles Empirical Avaliado por Pares empírico |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1142
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| Source |
Brazilian Review of Finance; Vol 2, No 2 (2004); pp. 207-223
Revista Brasileira de Finanças; Vol 2, No 2 (2004); pp. 207-223 1984-5146 1679-0731 |
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| Language |
eng
por |
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1142/305
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1142/342 |
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