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Enfonque de las medidas de riesgo VaR y Expected Shortfall

Enfonque de las medidas de riesgo VaR y Expected Shortfall


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About the Book

Tesis (Bachelor) del año 2013 en eltema Matemática - Matemática aplicada, Nota: 2, Universidad Nacional de Piura, Idioma: Español, Resumen: El presente trabajo de investigación, nace de la inquietud por mostrar una de las poderosas aplicaciones que tiene la matemática abstracta en los fenómenos económicos como son las medidas de riesgo financiero los cuales tienen sus bases en la teoría de la medida así como en la convexidad pues hoy en día se busca obtener indicadores de manera precisa. Por ello, durante años, numerosas instituciones e investigadores han realizado diversos estudios para obtener medidas que gestionen e cientemente los riesgos a los que se ven sometidos. En ese sentido, uno de los pasos crticos es construir una apropiada medida de riesgo. Posiblemente reforzada por las nuevas tendencias en la regulacion de instituciones nancieras y la reaccion de la comunidad academica a los requerimientos prácticos, las medidas de riesgo es uno de los temas de rápida evolución tanto en lo teórico como en el campo práctico. Un ejemplo importante es el de JP Morgan, cuya metodología " RiskMetrics" fue divulgada en el año 1995, lo cual supuso una revolucion en la gestion de riesgos moderna, dando paso al conocido Value at Risk (VaR) y, en los ultimos años, el Expected Shortfall (ES). En ese sentido, la optimizacion de carteras que minimizan el riesgo de mercado es una de las preocupaciones en la gestion de carteras de renta variable y renta ja, enfatizando la importancia de comparar las bondades de estas medidas.


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Product Details
  • ISBN-13: 9783668701281
  • Publisher: Bod Third Party Titles
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 48
  • Spine Width: 3 mm
  • Width: 148 mm
  • ISBN-10: 3668701288
  • Publisher Date: 08 May 2018
  • Binding: Paperback
  • Language: Spanish
  • Returnable: N
  • Weight: 127 gr


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