Value at risk – VAR: um estudo aplicado a uma seguradora brasileira

Abstract

How one of the insurers reacts in economic crisis? Insures have an important role in society as an insurance factor of companies, in other words, insurers are the safer companies. Therefore, in the middle of a turbulent period in economy, or even in worldwide economic crisis that affects stock exchange, the insurers shouldn't be affected, because they're are guardians of economy, protecting them from losses. It's not common, in world scene, to see insurer companies going through internal economical crises, solvency problems or going to bankruptcy, because they have the best marketing tools to predict and analyze risks. Thus, how Porto Seguro reacted to economical crises in 2008? Analyzing this period, could she go into bankruptcy. In this research, we will use one of the methodologies of risk management, used for a lot of marketing analysts and financiers to manage their portfolios, called Value at Risk – VaR. Our aim is analyze, model and estimate the worst possible scenes in a heteroscedasticity temporal serie, no normal and stationary, with autoregressive models, moving averages and GARCH. Porto Seguro past through for this period without declaring bankruptcy, but according to our research, the company could have a bad performance, showing company vulnerability.