{"id":42373,"date":"1999-01-01T00:00:00","date_gmt":"1999-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/prediccion-de-crisis-bancarias-el-value-at-risk-var-como-medida-del-riesgo-de-mercado\/"},"modified":"1999-01-01T00:00:00","modified_gmt":"1999-01-01T00:00:00","slug":"prediccion-de-crisis-bancarias-el-value-at-risk-var-como-medida-del-riesgo-de-mercado","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/prediccion-de-crisis-bancarias-el-value-at-risk-var-como-medida-del-riesgo-de-mercado\/","title":{"rendered":"Prediccion de crisis bancarias: el value-at-risk (var) como medida del riesgo de mercado."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Mar\u00eda Coronado Vaca <\/strong><\/h2>\n<p>El objeto de esta tesis es la comparaci\u00f3n de los diferentes m\u00e9todos de estimaci\u00f3n del value-at-risk (var) como medida del riesgo de mercado de carteras bancarias reales no lineales (concretamente de opciones en divisas) en el contexto de la supervisi\u00f3n de la solvencia bancaria; para poder concluir c\u00faal de ellos es mejor en esas circunstancias concretas.  la conclusi\u00f3n principal es que en el caso del c\u00e1lculo del var de carteras reales no lineales en un contexto de supervisi\u00f3n de la solvencia bancaria, se debe escoger la precisi\u00f3n que proporciona el m\u00e9todo de simulaci\u00f3n monte carlo, a la rapidez que se obtiene con el m\u00e9todo anal\u00edtico de la matriz de varianzas-covarianzas.  obtenemos para ella evidencia tantote\u00f3rica como emp\u00edrica.  el estudio emp\u00edrico lo realizamos con una cartera real no lineal: concretamente con la cartera de opciones en divisas a 21 de octubre de 1996, de uno de los grandes bancos espa\u00f1oles.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Prediccion de crisis bancarias: el value-at-risk (var) como medida del riesgo de mercado.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Prediccion de crisis bancarias: el value-at-risk (var) como medida del riesgo de mercado. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Mar\u00eda Coronado Vaca <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pontificia comillas<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1999<\/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>Antonio  M. Arroyo  Rodriguez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: javier Irastorza revuelta <\/li>\n<li>Jos\u00e9 Luis Sanchez-fernandez valderrama (vocal)<\/li>\n<li>margarita Prat rodrigo (vocal)<\/li>\n<li>Jos\u00e9 Manuel Rodriguez carrasco (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Mar\u00eda Coronado Vaca El objeto de esta tesis es la comparaci\u00f3n de los diferentes m\u00e9todos de estimaci\u00f3n [&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":[82,974,1068,1698,1302,18397],"tags":[32415,834,3466,31452,43269,106580],"class_list":["post-42373","post","type-post","status-publish","format-standard","hentry","category-ciencias-economicas","category-econometria","category-estadistica-economica","category-gestion-financiera","category-organizacion-y-gestion-de-empresas","category-pontificia-comillas","tag-antonio-m-arroyo-rodriguez","tag-javier-irastorza-revuelta","tag-jose-luis-sanchez-fernandez-valderrama","tag-jose-manuel-rodriguez-carrasco","tag-margarita-prat-rodrigo","tag-maria-coronado-vaca"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/42373","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=42373"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/42373\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=42373"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=42373"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=42373"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}