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Errores y posibles soluciones en la aplicación del "value at risk"
González Sánchez, Mariano - 2000
Persistent link: https://www.econbiz.de/10001475995
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Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
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 portfolio. An application of alpha-stable distributions has allowed …
Persistent link: https://www.econbiz.de/10011392440
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Valor en riesgo: modelos econométricos contra metodologías tradicionales
Ramírez Ramírez, Elías; Ramírez Ramírez, Pedro … - In: Análisis económico 22 (2007) 3, pp. 179-198
Persistent link: https://www.econbiz.de/10003743412
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Reformas regulatorias y crisis de los modelos VaR
Stupariu, Patricia; Ruiz, Juan Rafael; Vilariño, Angel - 2015
Persistent link: https://www.econbiz.de/10011541828
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Value at risk: teoría y aplicaciones
Johnson, Christian - 2002
Persistent link: https://www.econbiz.de/10001699580
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Value at risk: teoría y aplicaciones
Johnson, Christian - In: Estudios de economía 28 (2001) 2, pp. 217-247
Persistent link: https://www.econbiz.de/10001656826
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Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo
González Aréchiga, Bernardo; Díaz Tinoco, Jaime; … - In: Economía mexicana 10 (2001) 2, pp. 259-290
Persistent link: https://www.econbiz.de/10001614954
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Regresión cuantílica dinámica para la medición del valor en Riesgo : una aplicación a datos colombianos
Mariño Ustacara, Daniel; Melo-Velandia, Luis Fernando - 2016
Persistent link: https://www.econbiz.de/10011580741
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Una herramienta de análisis teórico en la teoría de la empresa bajo incertidumbre
Rodríguez-Puerta, Inmaculada; Sebastiá Costa, Francisco; … - In: Revista de Métodos Cuantitativos para la Economía y … 11 (2011), pp. 33-40
variable - to be applied to the case of several random variables, and we illustrate its use in the theory of the firm under … uncertainty. We have performed this on a recent model of the theory, for which the respective optimal levels chosen by the firm … of the lemma, in the context of the same model, to study the effect of a variation in risk aversion, which had not been …
Persistent link: https://www.econbiz.de/10010282691
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Una herramienta de análisis teórico en la teoría de la empresa bajo incertidumbre
Rodríguez-Puerta, Inmaculada; Sebastiá Costa, Francisco; … - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 33-40
variable - to be applied to the case of several random variables, and we illustrate its use in the theory of the firm under … uncertainty. We have performed this on a recent model of the theory, for which the respective optimal levels chosen by the firm … of the lemma, in the context of the same model, to study the effect of a variation in risk aversion, which had not been …
Persistent link: https://www.econbiz.de/10009422440