Value at Risk (VaR)
DOI:
https://doi.org/10.32870/myn.vi45.7665Keywords:
VARAbstract
The technique (VaR) is a statistical measure of the risk. It is associated with financial risks related to the high volatility in prices, interest rates, or exchange rates. It is used massively by entities because of the necessity to measure risk in constantly traded portfolios.References
Blanco, C. & Garman, M. (1998). Nuevos Avances en la Metodología de Valor en Riesgo: Conceptos de VeRdelta y VeRbeta, Revista Análisis Financiero, 75, 6-18.
INEGI. (2021). Banco de Información Económica. México: Instituto Nacional de Geografía y Estadística. Link: http://www.inegi.org.mx/sistemas/bie/ (consultado el 01 January de 2022)
Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments, New York: John Wiley.
Padula, E. I. & Bacchini, R. D. (2014). Estudio Comparativo de Metodologías para el Cálculo del Valor A Riesgo: Aplicación al Merval. Revista de Investigación en Modelos Financieros, 2.
Sharpe, W. (1964). Capital Assets Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425-442.
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