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El Ver: Herramienta Para La Medición De Riesgos De Mercado

Author

Listed:
  • Alexander Campos Osorio

Abstract

La importancia de la medición y control de los riesgos de mercado quedó evidenciada con los episodios recientes de turbulencias financieras y pérdidas ocasionadas por la variación de los precios de mercado de los activos. En este documento se presenta de manera sencilla el VeR (Valor en Riesgo) como una de las metodologías para la medición de riesgos de mercado. Igualmente, se desarrollan varios enfoques para la medición del VeR, dependiendo de los supuestos que se hagan sobre el comportamiento de las series históricas de rendimientos. Al final, un ejemplo práctico de medición del VeR para un por- tafolio de tres activos ilustra mejor los enfoques discutidos

Suggested Citation

  • Alexander Campos Osorio, 2003. "El Ver: Herramienta Para La Medición De Riesgos De Mercado," Apuntes de Banca y Finanzas 2567, Asobancaria.
    • Handle: RePEc:col:000086:002567
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    More about this item

    Keywords

    Riesgos de mercado;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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