This paper investigates the use of high frequency data in the estimation of daily and intradaily volatility, in order to compute value at risk (VaR) forecasts for the IBOVESPA. GARCH models and deterministic methods for the filtering of seasonal patterns have been used in the computation of...

This article evaluates ways of adapting the structure implemented by the Central Bank of Brasil to calculate capital requirements for market risk of fixed interest rates to transactions involving the USD interest rate in Brazil (<i>cupom cambial</i>). Changes to the volatility estimation procedure and...

Historical models are being quite used in the value at risk (VaR) estimation due to the fact that many returns of financial assets cannot be described by a theoretical distribution. In these models, each observation of the past can be a possible scenery and for each scenery there is a price for...

Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital...

The Value at Risk calculation for options has a lot of difficulties. The non-normality and the non-linearity of these assets cause sufficient unaccuracy in this measurement, mainly for the parametric models. The purpose of this article is to analyze the results of the VaR estimate for a...

We develop a tractable structural model to estimate a firm's default probability by modeling its asset and debt behavior. The model incorporates jump factors. For a set of Brazilian large corporations, we compare the structural model results to the default probabilities predicted by a survival...