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INTRODUCCIÓN AL CÁLCULO DEL VALOR EN RIESGO

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Jorge Andres

on 28 September 2012

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Transcript of INTRODUCCIÓN AL CÁLCULO DEL VALOR EN RIESGO

Calculo VALOR EN RIESGO INTRODUCCIÓN METODOS DE CALCULO DEL
VaR "VaR" se ha convertido en una herramienta mas empleada para la medición del riesgo total de un portafolio o traders, facilitando la toma de decisiones, resaltando los parámetros de horizonte de tiempo y nivel de confianza METODO PARAMETRICO
Estos métodos implican suponer una distribución o modelo que sigue el comportamiento del portafolio, encontrando el mínimo valor, determinando la mínima perdida al final del año. MODELO NORMAL
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