Structured Monte Carlo. Estimated value at risk in a stock portfolio in Colombia
This research explores various methods to estimate Value at Risk for a portfolio of high and medium liquidity Colombian stocks. It concludes that, according to the characteristics of these assets, Full Montecarlo is more robust than other parametric methods –particularly the Normal method-, and the...
- Autores:
-
María Auxiliadora Vergara Cogollo
Cecilia Maya Ochoa
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/14018
- Acceso en línea:
- http://hdl.handle.net/10784/14018
- Palabra clave:
- VaR
Market Risk
Full Montecarlo
Garch
Egarch
Parch
Aparch.
VaR
riesgo de mercado
método Montecarlo Estructurado
Garch
- Rights
- License
- Copyright © 2009 María Auxiliadora Vergara Cogollo, Cecilia Maya Ochoa