Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques

Getúlio Alves de Souza Matos, Robert Iquiapaza and Bruno Pérez Ferreira
Additional contact information
Getúlio Alves de Souza Matos: Universidade Federal de Minas Gerais - UFMG
Bruno Pérez Ferreira: Universidade Federal de Minas Gerais - UFMG

Brazilian Business Review, 2014, vol. 11, issue 4, 84-106

Abstract: For investors, Exchange-Traded Funds (ETFs) are securities structured as portfolios that replicate financial market indexes, but with the facility of being traded as stocks. The aim of the study was to analyze the risk exposure of Brazilian ETFs, compared to the Ibovespa index and the corresponding BMFBovespa indexes. For the present analysis the methodology of Value-at-Risk (VaR) at 5% was used, with historical simulation, coupled with the Expected Shortfall (ES) methodology, also at 5%. Next, the Unplanned Divergence (DnP) was used as a tracking error mechanism . The Monte Carlo simulation for replication of the verified values was also used, considering the previous profitability measures. The results presented the frequency distributions for the losses, and those lower than the VaR, which characterizes the expectation of loss measured by the ES. All ETFs presented losses and exposure to risk greater than those observed for the Ibovespa benchmark and its respective benchmark indexes.

Keywords: Risk.; ETF.; Expected; shortfall.; Unplanned; divergence.; Monte; Carlo. (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://bbronline.com.br/index.php/bbr/article/download/251/379 Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:11:y:2014:i:4:p:84-106

Access Statistics for this article

Brazilian Business Review is currently edited by Emerson Mainardes

More articles in Brazilian Business Review from Fucape Business School Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES. Contact information at EDIRC.
Bibliographic data for series maintained by Sarah Lasso ( this e-mail address is bad, please contact ).