{"id":12017,"date":"2001-06-07T00:00:00","date_gmt":"2001-06-07T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/modelos-empiricos-multifactoriales-para-la-inmunizacion-financiera-y-la-gestion-del-riesgo-de-interes\/"},"modified":"2001-06-07T00:00:00","modified_gmt":"2001-06-07T00:00:00","slug":"modelos-empiricos-multifactoriales-para-la-inmunizacion-financiera-y-la-gestion-del-riesgo-de-interes","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/modelos-empiricos-multifactoriales-para-la-inmunizacion-financiera-y-la-gestion-del-riesgo-de-interes\/","title":{"rendered":"Modelos empiricos multifactoriales para la inmunizaci\u00f3n financiera y la gestion del riesgo de interes"},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Soto Pacheco Gloria M. <\/strong><\/h2>\n<p>Esta investigaci\u00f3n se encuadra en el campo del riesgo de interes de las carteras de renta fija persiguiendo varios objetivos. Por una parte, ofrecemos una vision critica y razonada de las tecnicas de gesti\u00f3n del riesgo de interes en general y de los modelos de duracion en particular en un marco homogeneo. Tras la exposicion teorica de los diferentes modelos de duracion que se han planteado en los ultimos treinta a\u00f1os y de un analisis en profundidad de la evidencia empirica existente en torno a ellos, se identifican los viculos que los unen y sus elementos diferenciales y se considera su extensi\u00f3n para el calculo del var. Nos centramos, por su mayor interes, en los modelos empiricos de duraciones multifactoriales, en donde se enmarcan los modelos de duraciones parametricas (exponencial y polinomial), de duraciones direccionales (de tipos optimos y de factores comunes) y de duraciones parciales.  como segunda tarea en nuestra investigaci\u00f3n, se someten a examen empirico los modelos multifactoriales anteriores utilizando como base informativa las series de tipos cupon cero del mercado espa\u00f1ol de deuda publica y de cotizaciones de los bonos y obligaciones del estado espa\u00f1ol durante el periodo 1992-1999. El objetivo de esta parte de la investigacion es contrastar la aplicabilidad y validez de dichos modelos para recoger la dinamica de la curva de tipos y la rentabilidad de la renta fija publica espa\u00f1ola.  las limitaciones detectadas en los modelos estudiados en este analisis empirico y la evidencia obtenida en relacion con la existencia de agrupamiento en la volatilidad de las series historicas de tipos cupon cero, nos conducen a la tercera parte de nuestra de investigacion, en donde consideramos la idoneidad de un planteamiento basado los modelos de varianza condicionada autorregresiva(arch y extensiones) con estructura factorial. Este modelizaci\u00f3n presenta ventajas significativas en relacion con las anteriores, no solo por su mayor c<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Modelos empiricos multifactoriales para la inmunizaci\u00f3n financiera y la gestion del riesgo de interes<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Modelos empiricos multifactoriales para la inmunizaci\u00f3n financiera y la gestion del riesgo de interes <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Soto Pacheco Gloria M. <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Murcia<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 06\/07\/2001<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Mar\u00eda  Asuncion Prats Albentosa<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: aurelio Martinez estevez <\/li>\n<li>eliseo Navarro arribas (vocal)<\/li>\n<li>alfonso Novales cinca (vocal)<\/li>\n<li>Jos\u00e9 Garcia solanes (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Soto Pacheco Gloria M. Esta investigaci\u00f3n se encuadra en el campo del riesgo de interes de las [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[772,82,8619,974,963,524,8235,4677,737,19778],"tags":[23088,11536,39384,11537,25160,39383],"class_list":["post-12017","post","type-post","status-publish","format-standard","hentry","category-actividad-economica","category-ciencias-economicas","category-dinero-y-banca","category-econometria","category-economia-sectorial","category-modelos-econometricos","category-murcia","category-sector-de-finanzas-y-seguros","category-teoria-economica","category-teoria-monetaria","tag-alfonso-novales-cinca","tag-aurelio-Martinez-estevez","tag-eliseo-navarro-arribas","tag-jose-garcia-solanes","tag-maria-asuncion-prats-albentosa","tag-soto-pacheco-gloria-m"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/12017","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=12017"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/12017\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=12017"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=12017"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=12017"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}