Introducción al Valor en Riesgo (VaR) (An Introduction to Value at Risk VaR)

16 Pages Posted: 26 Aug 2013 Last revised: 14 Dec 2015

See all articles by Juan Mascareñas

Juan Mascareñas

Universidad Complutense de Madrid

Date Written: December 2015

Abstract

Spanish Abstract: Esta monografía muestra una pequeña introducción al valor en riesgo (VaR): el método histórico, el método varianza-covarianza, y el método de la simulación Monte Carlo. Además, se muestran dos ejemplos de su cálculo para carteras de renta variable y renta fija.

English Abstract: This monograph shows a little introduction to the value at risk (VaR): the historical method, the variance-covariance method, and the Monte Carlo simulation method. There are two examples about how to compute it on portfolios made up of shares or bonds.

Note: Downloadable document is in Spanish.

Keywords: Value at risk, VaR

JEL Classification: G12

Suggested Citation

Mascareñas, Juan, Introducción al Valor en Riesgo (VaR) (An Introduction to Value at Risk VaR) (December 2015). Available at SSRN: https://ssrn.com/abstract=2316009 or http://dx.doi.org/10.2139/ssrn.2316009

Juan Mascareñas (Contact Author)

Universidad Complutense de Madrid ( email )

Avda. de Séneca 2
Madrid, 28040
Spain

HOME PAGE: http://www.ucm.es

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