Risco de Mercado: a importância do gerenciamento para mensurar o risco de uma carteira de investimento

Abstract

The evolution of the financial market and its many phases, among them the major financial crises that shook the whole market, increased the complexity of investments in this area and simultaneously the appearance of risks. So, it´s required the development of new techniques that make it possible to measure and evaluate the potential risk of losses. In this scenario, it’s fundamental to manage investments and measure risk in investment portfolios. So, the aim of this work is to demonstrate the importance of market risk management and the profitable effects of measuring the risk of a proper investment portfolio, assessing the impacts through the use of Value-at-Risk (VaR) technique description. In order to validate the results, an analysis of actual data of an investment portfolio of a Financial Brokerage Firm licensed by SEC (Securities and Exchange Commission) from 2014 to 2016 was performed, verifying the risks of the assets contained therein, its level of trust, estimated and obtained R.O.I. and degree investment risk. In the analyzed scenarios, the historical risk diversification and the losses above the confidence index showed the increase of the losses above the historical risk and the obtained returns. It’s possible to conclude, at this work’s context, that management is extremely important to measure risk in an investment portfolio, but it is worth emphasizing that attention must be paid to the different interests of risk managers while measuring a risk.