CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES
Keywords:
Accounting indexes, Economic sectors, Systemic risk, Risk management, Macroeconomic variablesAbstract
The dynamics of the functioning of the financial markets have been characterized by external influences resulting from the process of economic, social, political, and cultural integration, especially since 1980. Thus, considering the interrelationships, the systemic risk becomes imminent, and there is a need to manage them. In this context, this article constructed risk management models for the Brazilian economic sectors using accounting and macroeconomic indexes in the CoVaR model, through quantile regression with fixed additive effects. The results point out that, when inserting factors from accounting and economy simultaneously, the explanations for the systemic risk contribution become more appropriate from the economic-financial point of view. In addition, the basic materials sector deserves further study, including the possibility of prudential measures. Therefore, the knowledge of this type of information generated by the models allows the adoption of protection and risk monitoring mechanisms, in addition to the decision on asset allocation. Therefore, by listing the aspects considered innovative, of a theoretical and empirical nature, we can say that the practical contribution of this article consists in identifying potentially riskier sectors, to the point of guiding economic policymakers, in the macro and micro scope, to develop prudential measures applicable to other sectors of the Brazilian stock market.
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