In this work we make a traditional portfolio analysis using the Sharpe ratio to identify the market portfolio. This measure of investment performance was compared with those obtained with bootstrapping the Sharpe ratio. The results indicate that the choice of market portfolio is greatly affected...

Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se...

This paper develops and estimates a dynamic structural model of participation in the risky financial asset markets using household level panel data. We specify a simple economic model in order to capture the portfolio choice over the life cycle. We solve the model using numerical techniques....

In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...

In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...

In this study we develop a three-factor model of the term structure of interest rates that includes a market sensitivity parameter. In the model the future short-rate depends on the current short-rate, the short-term mean of the short rate and the current volatility of the short-rate. The...

Testing for the assumption of independence between spatial variables is an important first step in spatial conometrics. Usually the researchers use the bivariate generalization of the Moran’s statistic, specifying a spatial matrix a priori. This test is applicable only to detect linear...

This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different...

This article intends to expose a process for the valuation of shares of the companies of the banking sector through business financial multiples, based on various statistical techniques such as Monte Carlo simulations and Bayesian models of continuous valuation of the relative indicators over...

It was in the 1990's when the concept of Operational Risk was defined, since then the institutions, especially those in the financial sector, are worried about this type of risk since their exposure could have fatal consequences. In case of the insurance sector its study originates due to the...