Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante
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References listed on IDEAS
- 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.).
- Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, August.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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KeywordsVaR; Value at Risk; ES; Expected Shortfall; backtesting; riesgo de mercado; R-project; tasa de cambio; TCRM; distribución normal; distribución de Pareto; VaR no paramétrico; VaR paramétrico; VaR semi-paramétrico;
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