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Risk assessment in airlines stocks market

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Author(s): Renato Cesar Sato

Journal: Journal of Transport Literature
ISSN 2238-1031

Volume: 7;
Issue: 2;
Start page: 352;
Date: 2013;
Original page

Keywords: value-at-risk | garch | aviation | stocks | market risk

ABSTRACT
In this paper we compared the results between stock portfolios of North American and European airlines. The model accesses the market risk using Value-at-Risk approach in both portfolios over one month period. The analysis was performed through the use of GARCH-EVT methods and Student’s-t Copula with a Monte Carlo Simulation. The assets in the financial market usually present heavy tails in their probability distributions, so, a process capable to deal with this issue is crucial to measure the risk of loss. We analyzed the period from mid-2007 to mid-2012 to compose comparison between these two portfolios. The financial crisis of 2008 had a great impact in the North America market in relative to the European market. The central role of transport in the economy makes studies dealing with investment risk measure in this sector crucial for the industrial development. The volatility of risk in the airline market happens by internal and external motives and the methodological development of financial tools can offer an important contribution due the investment flux dependency.
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