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Introducción Al Cálculo Del Valor En Riesgo

Author

Listed:
  • Julio César Alonso

Abstract

Este documento tiene como objetivo brindar al estudiante una breve introducción a la interpretación y el cálculo del Valor en Riesgo (VaR) de un portafolio. Se presenta el cálculo del VaR bajo el supuesto de una varianza constante así como bajo la posibilidad de una varianza no constante. Adicionalmente a la exposición teórica, se presentan ejemplos y una hoja de Excel que le permite al lector seguir la exposición. El documento está dirigido principalmente a estudiantes de últimos semestres de pregrado, pero por la sencillez del lenguaje, puede ser de utilidad para cualquier estudiante o profesional interesado en el cálculo del VaR.

Suggested Citation

  • Julio César Alonso, 2005. "Introducción Al Cálculo Del Valor En Riesgo," Apuntes de Economía 2919, Universidad Icesi.
    • Handle: RePEc:col:000131:002919
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    File URL: http://www.icesi.edu.co/dptoeni/publicaciones/docs/Apencon7.pdf
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