NUNES, A.D.M.S.; http://lattes.cnpq.br/9961278376516677; NUNES, Arthur Diniz Maia Silva.
Résumé:
The financial market is a complex environment surrounded by uncertainties and many
variables. Measuring the risk involved when investing becomes a crucial activity for achieving
positive returns and continued growth. Be based on the trends of asymmetric distributions and
the not always rational investor’s behavior is a key point of the work. Thus, the research used
the postmodern approach of risk for evaluating the performance of the stock index of the
BM&FBovespa, the IBRX100, before a fixed income security issued by the Brazilian
government, the NTN-B Principal. The methodology had used explorative and documentary
characteristics as it aims to present the results found by the use of the technique, that is still not
widespread in research in the Brazilian context, through data collected from private sources.
The results of the downside risk assessment technique exhibit an asymmetry between the upside
and downside samples before the target return rate, in which the upside risk presented
distribution with the higher amplitude returns, indicating that the IBRX100 have greater risk of
getting returns above the NTN-B Principal.