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...

Full description

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