Sensitivity analysis and Value-at-Risk (VaR): a study for the sugarcane sector

• Grant number: 13/13549-0
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: January 01, 2014
• End date: December 31, 2014
• Field of knowledge: Engineering - Production Engineering - Economic Engineering
• Principal Investigator: Daisy Aparecida do Nascimento Rebelatto
• Grantee: Márcio Luís Hamasaki da Silva
• Host Institution: Escola de Engenharia de São Carlos (EESC). Universidade de São Paulo (USP). São Carlos , SP, Brazil

Abstract

Currently there are few articles that have entered techniques of risk measurement based on VaR for investment projects. In this context, this work aims to identify and measure the empirical risks that are present in investment projects, particularly in the Brazilian sugarcane industry, through a method that incorporates sensitivity analysis and VaR, thus presenting the risk under a monetary measure.