Artículo de revista ; En este trabajo se estudian algunos de los problemas planteados hoy a los gestores de riesgo operacional en el diseño e implementación de modelos avanzados. Utilizando datos sintéticos se analizan los impactos del riesgo de modelo, las dificultades en la aplicación de...

The estimation and management of risk is an important and complex task faced by market regulators and financial institutions. Accurate and reliable quantitative measures of risk are needed to minimize undesirable effects on a given portfolio fromlarge fluctuations in market conditions. To...

While parametric copulas often lack expressive capacity to capture the complex dependencies that are usually found in empirical data, non-parametric copulas can have poor generalization performance because of overfitting. A semiparametric copula method based on the family of bivariate...