This paper develops alternative methodologies to evaluate multiple assets portfolio risks. Total Return Analysis, Efficient Frontier, Value at Risk (VaR), Extreme Value Theory (EVT), Tracking Error (TE), and Monte carlo simulations are topics which are applied to a variety of fixed and variable...

Traditional cash-in-advance models are characterized by having a constant velocity of money. Based on the Lucas and Stokey (1987) model, this paper studies the behavior of velocity and money demand for the U.S., simulating an economy which includes stochastic monetary growth (monetary policy),...

This paper uses genetic algorithms (GAs) to find the optimal parameter values in the solution of the Real Business Cycle model. To generate the policy functions of the individual, we approximate the conditional expectation of the Euler equation using an exponential polynomial function, based on...

This article describes the Value at Risk concept, popularized during the last ten or fifteen years, presenting applications on stocks, bonds, interest and exchange rate forward contracts, and swaps. We applied asymmetric GARCH methodologies over Chilean stock indexes to enhance our risk...

International capital market integration together with increasing international volatility, requires an accurate evaluation of the potential losses that portfolio managers may face as a result of international turbulence. Assets with high liquidity standards can be evaluated by the traditional...

This paper presents a review of alternative methodologies for early detection of banking distress. The methodologies proposed are aimed to the early identification of financial distress for countries without an important recent history of bank failure, but facing an unstable international...

This article presents an intervention methodology to neutralize fluctuations not associated to fundamentals. The mechanism is based on a conditional heteroskedasticity model GARCH(1,1) for the nominal exchange rate, combined with the Value at Risk concept. The simulation provides the authority...

This article presents a historical analysis of the Chilean monthly growth rate from 1987 to 2000, applying the Switching Regime methodology design by Hamilton (1989). Three scenarios were considered, which imply a number of parameters estimated using the expected maximization iterative procedure...

This article generates innovative confidence intervals for two of the most popular de trending methods: Hodrick-Prescott and Band-Pass filters. The confidence intervals are obtained using block-bootstrapping techniques for dependent data. As an example, we present GDP trend growth and output gap...