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Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante

Author

Listed:
  • Julio César Alonso
  • Paul Seeman

Abstract

Este documento discute de manera breve el concepto de VaR (Value at Risk) y ES (Expected Shortfall) para introducir el uso del software estadístico gratuito R y el paquete VaR. Se ilustra paso a paso la estimación del VaR empleando la simulación histórica, un método paramétrico que supone una distribución normal con varianza constante y un métodosemi-paramétrico que modela la cola de la distribución de los retornos usando la distribución generalizada de Pareto. Así mismo, se detalla como calcular el ES y realizar el backtesting al interior de la muestra ("in sample") y por fuera de la muestra ("out of sample"). Los ejemplos se realizan para la TCRM. Este documento está dirigido a estudiantes de maestría en finanzas, maestría en economía y últimos semestres de pregrado en economía. Además por la sencillez del lenguaje, puede ser de utilidad para cualquier estudiante o profesional interesado en calcular las medidas mas empeladas de riesgo de mercado.

Suggested Citation

  • Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," Apuntes de Economía 9096, Universidad Icesi.
    • Handle: RePEc:col:000131:009096
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    References listed on IDEAS

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    1. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    2. Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," Estudios Gerenciales, Universidad Icesi.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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    Cited by:

    1. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," Apuntes de Economía 9097, Universidad Icesi.

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