{"id":65957,"date":"2008-04-07T00:00:00","date_gmt":"2008-04-07T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/copula-based-techniques-for-risk-aggregation-models\/"},"modified":"2008-04-07T00:00:00","modified_gmt":"2008-04-07T00:00:00","slug":"copula-based-techniques-for-risk-aggregation-models","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/barcelona\/copula-based-techniques-for-risk-aggregation-models\/","title":{"rendered":"Copula-based techniques for risk aggregation models"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Oriol Roch Casellas <\/strong><\/h2>\n<p>Dado el reciente inter\u00e9s en el estudio de los riesgos financieros de forma conjunta, en esta tesis hacemos uso de la teor\u00eda de copulas para el c\u00f3mputo de magnitudes financieras en las que alg\u00fan de dependencia estad\u00edstica interelaciona los riesgos. en una primera aproximaci\u00f3n emp\u00edrica, analizamos el potencial de las c\u00f3pulas para modelizar rendimientos bivariantes de acciones cotizadas en el mercado espa\u00f1ol. Haciendo uso de un test chi-cuadrado bivariante, contrastamos el potencial de las c\u00f3pulas para representar rendimientos conjuntos de acciones, y analizamos el efecto de un filtrado arma-garch en la selecci\u00f3n y extracci\u00f3n de la mejor funci\u00f3n c\u00f3pula. en una segunda contribuci\u00f3n, encontramos aproximaciones anal\u00edticas para el c\u00f3mputo de la distribuci\u00f3n de la riqueza final para carteras con inversiones peri\u00f3dicas que siguen una estrategia de \u00abcomprar y mantener\u00bb en el marco te\u00f3rico de black-scholes. en una tercera y \u00faltima contribuci\u00f3n, obtenemos cotas inferiores en orden convexo para la suma de variables aleatorias lob-normales asim\u00e9tricas. Adem\u00e1s, empleamos los resultados obtenidos para extender parcialmente los modelos de la contribuci\u00f3n anterior sobre el c\u00f3mputo de la riqueza final de carteras que siguen una estrategia de \u00abcomprar y mantener\u00bb, permitiendo que la distribuci\u00f3n de los rendimientos presente cierto grado de asimetr\u00eda.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Copula-based techniques for risk aggregation models<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Copula-based techniques for risk aggregation models <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Oriol Roch Casellas <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 04\/07\/2008<\/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 Alegre Escolano<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: marc Goovaerts <\/li>\n<li>emiliano a. Valdez (vocal)<\/li>\n<li>jan Dhaene (vocal)<\/li>\n<li>josep Vives i santa-eulalia (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Oriol Roch Casellas Dado el reciente inter\u00e9s en el estudio de los riesgos financieros de forma conjunta, [&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":[3148,951,4677],"tags":[20268,145389,145390,145391,145388,145387],"class_list":["post-65957","post","type-post","status-publish","format-standard","hentry","category-analisis-multivariante","category-barcelona","category-sector-de-finanzas-y-seguros","tag-antonio-alegre-escolano","tag-emiliano-a-valdez","tag-jan-dhaene","tag-josep-vives-i-santa-eulalia","tag-marc-goovaerts","tag-oriol-roch-casellas"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/65957","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=65957"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/65957\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=65957"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=65957"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=65957"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}