Value at risk for the term structure of interest rates : an orthogonal approach

Value at Risk is the maximum potential loss of a portfolio with a given probability during a period of time. This tool is extremely useful for hedging portfolio decisions as making efficient strategies by controlling for the incremental risk. The principal challenge of this risk measure is the accur...

Full description

Autores:

López Reina, Diego Nicolás

Tipo de recurso:

Trabajo de grado de pregrado

Fecha de publicación:

2006

Institución:

Universidad de los Andes

Repositorio:

Séneca: repositorio Uniandes

Idioma:

eng

OAI Identifier:

oai:repositorio.uniandes.edu.co:1992/22595

Acceso en línea:

http://hdl.handle.net/1992/22595

Palabra clave:

Riesgo (Finanzas) - Investigaciones - Modelos econométricos
Administración de riesgos - Investigaciones
Valor en riesgo - Modelos matemáticos
Administración

Rights

openAccess

License

http://creativecommons.org/licenses/by-nc-nd/4.0/