Análisis comparativo de las metodologías de estimación del valor en riesgo del mercado de deuda pública colombiano período 2014-2016

Autores

  • Miguel Antonio Alba Suárez Universidad Santo Tomás

DOI:

https://doi.org/10.14482/ecoca.24.336.861

Palavras-chave:

Arima, Garch, paramétrico, retroceso, valor en riesgo

Resumo

El comportamiento del mercado exige hoy más que nunca el abordar el estudio del Valor en Riesgo como instrumento, que pueda ayudar a mitigar las pérdidas que se puedan presentar ante cambios generados por fundamentales internos y externos. Este trabajo está enfocado en hacer una ilustración de las metodologías paramétricas y no paramétricas más frecuentemente utilizadas por los agentes del mercado para encontrar el valor en Riesgo aplicado al mercado de deuda pública.

Biografia do Autor

  • Miguel Antonio Alba Suárez, Universidad Santo Tomás
    Doctorando en Administración de empresas, Magister en Ciencias Económicas, Economista, Docente de la Facultad de Negocios Internacionales de la Universidad Santo Tomás-Bogotá. Coordinador del Laboratorio económico-financiero de la USTA. Areas de interés: Mercado de Capitales, Finanzas Internacionales, Finanzas Corporativas, Elaboración y Evauación de Proyectos de Inversión.

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Publicado

2020-02-04

Edição

N°. 24: JUL-DEZ 2019

Seção

Artigo científico

Licença

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