Using of Factor Models to analyze manager style and market risk for Brazilian Hedge Funds / Utilização do modelo de fatores para análise de estilos gerenciais e risco de mercado em fundos multimercado no Brasil

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

In recent years, Brazilian investments have been channeled into funds with greater risk, what requires constant monitoring. It takes three months to have access to the funds portfolios, what makes impossible to know what kind of market risks investors are exposed to at the present moment and how large the losses could be. With the goal of increasing the transparency in the sector and measuring the real position of the invested funds, in this dissertation a factor model was applied with the objective of developing a portfolio based on market indexes, but with the same characteristics of the original portfolio, and, with this information, measuring the exposure to each factor and calculate the market risks for VAR and Stress

ASSUNTO(S)

estilo de gestão fundos de investimento modelo de fatores factor model economia investment funds market risk risco de mercado manager style

ACESSO AO ARTIGO

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