{"id":28273,"date":"2018-03-09T09:20:54","date_gmt":"2018-03-09T09:20:54","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/el-riesgo-de-mercado-metodologias-para-su-medicion-y-control\/"},"modified":"2018-03-09T09:20:54","modified_gmt":"2018-03-09T09:20:54","slug":"el-riesgo-de-mercado-metodologias-para-su-medicion-y-control","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/sevilla\/el-riesgo-de-mercado-metodologias-para-su-medicion-y-control\/","title":{"rendered":"El riesgo de mercado: metodolog\u00edas para su medici\u00f3n y control"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Jos\u00e9 Manuel Feria Dominguez <\/strong><\/h2>\n<p>En los \u00faltimos a\u00f1os, las importantes p\u00e9rdidas ocasionadas por el mantenimiento de posiciones en los mercados financieros han despertado el inter\u00e9s, no s\u00f3lo por parte de las propias entidades financieras implicadas sino tambi\u00e9n por los organismos supervisores competentes, de gestionar el denominado riesgo de mercado (market risk). Este tipo de riesgo financiero, cuyo origen se encuentra asociado a la alta volatilidad existente, ya sea en t\u00e9rminos de precios, tipos de inter\u00e9s o tipos de cambio, puede acarrear situaciones dif\u00edciles, por no decir desastrosas, para las entidades que operan en dichos mercados.  el principal problema que, desde siempre, ha condicionado la gesti\u00f3n y control del riesgo de mercado estriba en su medici\u00f3n. Y es que, el progresivo aumento del grado de complejidad en las carteras de negociaci\u00f3n bancarias, la probada insuficiencia de los m\u00e9todos de medici\u00f3n tradicionales y la ausencia de un m\u00e9todo est\u00e1ndar, com\u00fanmente aceptado dentro del sector bancario, entre otras carencias, han propiciado, de alguna manera, lo que podr\u00edamos llamar un salto evolutivo hacia una nueva medida del riesgo de mercado, conocida internacionalmente por su notaci\u00f3n anglosajona, esto es, value at risk, y que ha sido traducida al castellano como valor en riesgo, en adelante ver.  en este trabajo testamos, emp\u00edricamente, las principales metodolog\u00edas estad\u00edsticas de c\u00e1lculo del ver sobre una cartera de variable nacional. En particular, aplicamos el modelo param\u00e9trico y el enfoque de simulaci\u00f3n en sus dos vertientes; la hist\u00f3rica y la de montecarlo. Asimismo, realizamo un ejercicio de verificaci\u00f3n (backtesting) y una prueba de tensi\u00f3n (stress-testing) basada en dos escenarios hist\u00f3ricos de crisis, concretamenta, los atentados terroristas del 11 de septiembre de 2001 y la crisis latinoamericana de 2002.  por \u00faltimo, analizamos la calidad y la cantidad de informaci\u00f3n financiera que, en t\u00e9rminos de ver, proporcionan la<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>El riesgo de mercado: metodolog\u00edas para su medici\u00f3n y control<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 El riesgo de mercado: metodolog\u00edas para su medici\u00f3n y control <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Jos\u00e9 Manuel Feria Dominguez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Sevilla<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 22\/01\/2004<\/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> Martin Marin Jos\u00e9 Luis<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: fernando G\u00f3mez-bezares pascual <\/li>\n<li>salvador Rayo canton (vocal)<\/li>\n<li> Mart\u00edn l\u00f3pez Manuel \u00e1ngel (vocal)<\/li>\n<li> Garcia machado Juan  Jos\u00e9 (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Jos\u00e9 Manuel Feria Dominguez En los \u00faltimos a\u00f1os, las importantes p\u00e9rdidas ocasionadas por el mantenimiento de posiciones [&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 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