{"id":89883,"date":"2018-03-10T00:15:09","date_gmt":"2018-03-10T00:15:09","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/evaluacion-de-modelos-var-alternativos-propuesta-de-un-modelo-para-carteras-de-renta-fija\/"},"modified":"2018-03-10T00:15:09","modified_gmt":"2018-03-10T00:15:09","slug":"evaluacion-de-modelos-var-alternativos-propuesta-de-un-modelo-para-carteras-de-renta-fija","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/evaluacion-de-modelos-var-alternativos-propuesta-de-un-modelo-para-carteras-de-renta-fija\/","title":{"rendered":"\u00abevaluacion de modelos var alternativos. propuesta de un modelo para carteras de renta fija\u00bb"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Pedro Gento Marhuenda <\/strong><\/h2>\n<p>Con el proposito de profundizar en el estudiar de la medicion del riesgo de mercado mediante el valor en riesgo (var), esta tesis doctoral se plantea un doble objetivo. El primero consiste en mostrar la dependencia de los resultados obtenidos con respecto a los parametros, supuestos y metodolog\u00eda var utilizada. El segundo objetivo consiste en el desarrollo de un modelo alternativo para carteras de renta fija, que permita simplificar el calculo del var con respecto al sistema de vertices(el enfoque habitualmente seguido para el tratamiento de la renta fija) propuesto por riskmetrics. Este modelo permite estimar el var de una cartera de renta fija a partir de dos factores clave, frente a los catorce que, por ejemplo, se utilizan en rinskmetrics.  para alcanzar los objetivos descritos, esta tesis se estructura en seis capitulos. Los tres primeros son de car\u00e1cter teorico, en los que se plantean una serie de cuestiones referentes al riesgo de mercado en las entidades financieras, su tratamiento por parte de los organismos reguladores y supervisores y su medicion mediante la metodolog\u00eda var. Los tres capitulos restantes son de car\u00e1cter empirico y se centran en la estimacion, evaluacion y comparacion de diferentes modelos var, incluido el modelo bifactorial que proponemos en esta tesis.  palabras clave: valor en riesgo, estructura temporal de los tipos de interes, renta fija, modelos bifactoriales.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>\u00abevaluacion de modelos var alternativos. propuesta de un modelo para carteras de renta fija\u00bb<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 \u00abevaluacion de modelos var alternativos. propuesta de un modelo para carteras de renta fija\u00bb <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Pedro Gento Marhuenda <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Castilla-la mancha<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 24\/04\/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>Eliseo Navarro Arribas<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: vicente Gonzalez catala <\/li>\n<li>prosper Lamothe fern\u00e1ndez (vocal)<\/li>\n<li>m\u00e1ximo Borrell vidal (vocal)<\/li>\n<li>roberto Escuder valles (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Pedro Gento Marhuenda Con el proposito de profundizar en el estudiar de la medicion del riesgo de [&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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