Teoria de Medidas de Risco: uma revisão abrangente

Abstract

A fundamental aspect of proper risk management is the measurement, especially forecasting of risk measures. Measures such as variance, volatility and Value at Risk had been considered valid because of their practical intuition. However, a solid theoretical framework it is important to ensure better properties for risk measures. Such background is the risk measures theory. This paper presents a comprehensive literature review on risk measures theory, focusing in basic theory and extensions to this fundamental outline. The paper is structured in order to cover the main risk measures classes from literature, which are coherent risk measures, convex risk measures, spectral and distortion risk measures and generalized deviation measures.

The Relationship between Sentiment and Risk in Financial Markets

“…One fundamental aspect of proper risk management is its measurement. (For a detailed analysis of ways to measure risk, see Righi & Ceretta, 2014). Overestimating risk can lead to a reduction in gains, while underestimating it can result in catastrophic outcomes.…”

Reacción de la bolsa brasileña a las notas explicativas del COVID-19 en los estados financieros del sector agropesquero de B3

“…por una herramienta de análisis, lo que permitió un enfoque científico más consistente. A partir de ese momento, se adoptó el uso de medidas de variabilidad, tales como la varianza asociada con la covarianza entre los activos para representar el riesgo(Righi & Ceretta, 2014).Cabe señalar que las medidas de desempeño tradicionales parten del principio financiero de que el alto riesgo está relacionado con un mayor rendimiento esperado(Galagedera, 2014). Sin embargo, cada una de las medidas utilizadas en la literatura y en el mercado denota una característica de una de estas dimensiones (riesgo y rendimiento).…”