Financial long-term risk estimation in Brazilian stocks

• Grant number: 24/01079-4
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: March 01, 2024
• End date: February 28, 2025
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Vécio Alves Packer
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 23/02538-0 - Time series, wavelets, high dimensional data and applications, AP.TEM

Abstract

The most important statistical measures for allocating risk capital to financial instruments are the Value at Risk (VaR) and the Expected Shortfall (ES). In the statistical and econometric literature various methods have been proposed for estimating VaR and ES, with greater emphasis on the one-day horizon. The aim of this project is to familiarize the grantee with some methods for calculating and evaluating long-term VaR and ES forecasts (10 and 22 days) and apply these methods in Brazilian stocks.