Value at risk: teoria y aplicaciones
Author | dc.contributor.author | Johnson, Christian A. | |
Admission date | dc.date.accessioned | 2010-12-17T16:39:02Z | |
Available date | dc.date.available | 2010-12-17T16:39:02Z | |
Publication date | dc.date.issued | 2001-12 | |
Cita de ítem | dc.identifier.citation | Estudios de economía. Vol.28 No. 2 Diciembre 2001 Pags. 217-247 | en_US |
Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/127835 | |
Abstract | dc.description.abstract | This article describes the Value at Risk concept, popularized during the last ten or fifteen years, presenting applications on stocks, bonds, interest and exchange rate forward contracts, and swaps. We applied asymmetric GARCH methodologies over Chilean stock indexes to enhance our risk evaluation performance. Liquidity adjusted Value at Risk methodologies for individual and multiple asset portfolios are discussed. To conclude, we applied this methodology to evaluate the performance in three Chilean financial institutions. | en_US |
Lenguage | dc.language.iso | es | en_US |
Publisher | dc.publisher | Universidad de Chile. Facultad de Economía y Negocios | en_US |
Keywords | dc.subject | Valor en riesgo | en_US |
Título | dc.title | Value at risk: teoria y aplicaciones | en_US |
Document type | dc.type | Artículo de revista |
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