PERFORMANCE OF CONDITIONAL MODELS IN GOLD RISK MANAGEMENT

DESEMPENHO DE MODELOS CONDICIONAIS NA GESTÃO DE RISCO DO OURO

RENDIMIENTO DE MODELOS CONDICIONALES EN LA GESTIÓN DEL RIESGO DEL ORO

ABSTRACT

Even with studies to confront different risk models for gold, there is no consensus about what is the best approach or models when considering the presence of extreme negative values. To that, we employ a backtesting in conditional models with distinct distributions in order to estimate VaR and ES risk measures and, thus, find a pattern for the risk of investments in gold. We verify that the EVT approach has more conservative and volatile risk estimates, with satisfactory results in extreme situations.

Keywords:
Gold; Risk measures; Risk models