{"id":52841,"date":"2018-03-09T22:40:30","date_gmt":"2018-03-09T22:40:30","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/una-evaluacion-del-uso-de-distribuciones-no-gausianas-en-la-gestion-de-riesgos\/"},"modified":"2018-03-09T22:40:30","modified_gmt":"2018-03-09T22:40:30","slug":"una-evaluacion-del-uso-de-distribuciones-no-gausianas-en-la-gestion-de-riesgos","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/modelos-econometricos\/una-evaluacion-del-uso-de-distribuciones-no-gausianas-en-la-gestion-de-riesgos\/","title":{"rendered":"Una evaluacion del uso de distribuciones no gausianas en la gestion de riesgos"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Francisco Javier Menc\u00eda Gonzalez <\/strong><\/h2>\n<p>La tesis consta de tres cap\u00edtulos:el primero aborda la modelizaci\u00f3n de regresiones din\u00e1micas con heterocedasticidad bajo ausencia de normalidad. Se desarrollan contrastes de normalidad y t de student, y se muestra la importancia del supuesto distribucional en una aplicaci\u00f3n al nasdaq.El segundo analiza c\u00f3mo reaccionan los activos financieros a movimientos de factores de mercado. Se desarrollan contrastes para la dependencia lineal y la que genera la t de student. Finalmente, en una aplicaci\u00f3n a la industria de los hedge funds se muestra la importancia de la dependencia no lineal y sus implicaciones.El tercer cap\u00edtulo estudia la valoraci\u00f3n de activos derivados en un contexto de ausencia de normalidad. Se emplea la distribuci\u00f3n snp, que permite obtener f\u00f3rmulas cerradas para opciones europeas, as\u00ed como relacionar las medidas real y neutral al riesgo. Los resultados se aplican a opciones sobre el s&#038;p 500.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Una evaluacion del uso de distribuciones no gausianas en la gestion de riesgos<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Una evaluacion del uso de distribuciones no gausianas en la gestion de riesgos <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Francisco Javier Menc\u00eda Gonzalez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 P\u00fablica de navarra<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 31\/05\/2006<\/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>Enrique Sentana Iva\u00f1ez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: eva Ferrerira Garc\u00eda <\/li>\n<li>gabriele Florentine (vocal)<\/li>\n<li>natividad Blasco de las heras (vocal)<\/li>\n<li>george Tauchen (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Francisco Javier Menc\u00eda Gonzalez La tesis consta de tres cap\u00edtulos:el primero aborda la modelizaci\u00f3n de regresiones din\u00e1micas [&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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