Enfonque de las medidas de riesgo VaR y Expected Shortfall


Bachelor Thesis, 2013

42 Pages, Grade: 2


Excerpt


Indice general

Introduccion.. I

1. Conceptos Preliminares.. 1

1.1. Teorıa de Probabilidad . . 1

1.2. Teorıa Convexidad . . 10

1.3. Diversificacion . . 10

2. Teorıa de Riesgo 13

2.1. Medidas de Riesgo . . 13

2.2. Value-at-risk . . 16

2.3. Expected Shortfall . . 20

3. Aplicacion.. 23

3.1. Retorno de portafolio . . 23

3.2. Metodos de estimacion . . 23

3.3. Caso de Aplicacion . . 25

3.3.1. Calculo del VaR y Expected Shortfall . . 25

4. Conclusiones.. 31

5. Recomendaciones.. 33

A. Basilea.. 35

B. Expected Shortfall ..37

C. Aplicacion: Especificaciones.. 41

Bibliografıa.. 43

Excerpt out of 42 pages

Details

Title
Enfonque de las medidas de riesgo VaR y Expected Shortfall
College
National University of Piura
Grade
2
Authors
Year
2013
Pages
42
Catalog Number
V424944
ISBN (eBook)
9783668701274
ISBN (Book)
9783668701281
File size
739 KB
Language
Spanish; Castilian
Keywords
enfonque, expected, shortfall, VaR, CVaR, Medidas de Riesgo, IGBVL
Quote paper
Jhoan Aldana (Author)Luis Purizaca (Author), 2013, Enfonque de las medidas de riesgo VaR y Expected Shortfall, Munich, GRIN Verlag, https://www.grin.com/document/424944

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