Fixed income investment funds risk using value-at-risk (VaR) from delta-normal model and Monte Carlo simulation/Uso do value-at-risk (VaR) para mensuracao de risco em fundos de investimento de renda fixa a partir do modelo delta-normal e simulacao de Monte Carlo/El uso del valor em riesgo (VaR) para la medicion del riesgo em fondos de inversion de renta fija a partir del modelo delta normal y de la simulacion de Monte Carlo

• Published in: Revista Gestão, finanças e contabilidade finanças e contabilidade, 2017-01, Vol.7 (1), p.60
• Main Authors: Souza, Joao Carlos Felix, dos Santos, Pedro Henrique, de Andrade, Vinnicius Matheus Madeira
• Format: Article
• Language: Spanish
• ISSN: 2238-5320; 2238-5320
• DOI: 10.18028/2238-5320/rgfc.v7n1p60-77

In the last decades, the use of the value-at-risk (var) has become widely used, especially the decision of the basel accord, forcing all financial institutions to value the risk of its assets and to create a national model, implemented by the brazil central bank, culminating in the generation of internal models, from different techniques. Among the advantages of using var measurement, there is the summary that it has to allocate to a single value the risk of application market in specific application, in addition to exposure of that in their respective market and volatility. In this sense, the objective of this article is to study the behavior of the three fixed income investment funds returns in brazil, from two models to measure market risk, delta normal simulation and monte carlo simulation, measuring the effectiveness of the model in the measurement of return on investment, in order to present the relationship between the change in the financial indicators and the return of the funds studied. The article demonstrates the suitability of the model and the improvement in the var evaluation using monte carlo simulation for the brazilian scenario when mutual fund investment portfolios are analyzed, pioneering work in the evaluation of equity assets in the capital market