This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finall...

Through empirical research is identified that the hypothesis of normal distribution of returns is no longer observed while verifying the existence of heavy tails and asymmetries in the distribution. Thus, the article has aimed empirically apply copula models using techniques of realized volatility (HAR) with high-frequency data and perform the calculation of Value at Risk for different periods....

A satisfação dos clientes sobre a qualidade produtos e serviços interfere na posição de mercado da empresa, podendo até gerar vantagens competitivas para sua sobrevivência ascensão. O objetivo deste artigo é discutir, por meio um estudo caso, utilização carta controle EWMA (Exponentially Weighted Moving Average), mostrando situações reais em uma indústria do setor alimentício, onde variável Pes...

The integration of the curtailment method with control charts considerably improves detection speed by signalling an out-of-control condition prior to inspection whole sample. To date, few research works have focused on incorporation improve performance charts. Thus, this paper incorporates approach synthetic chart propose a (Curt_Syn) for detecting upward shifts in fraction non-conforming, p. ...