Value at Risk (VaR)

Authors

DOI:

https://doi.org/10.32870/myn.vi45.7665

Keywords:

VAR

Abstract

The technique (VaR) is a statistical measure of the risk. It is associated with financial risks related to the high volatility in prices, interest rates, or exchange rates. It is used massively by entities because of the necessity to measure risk in constantly traded portfolios.  

References

Blanco, C. & Garman, M. (1998). Nuevos Avances en la Metodología de Valor en Riesgo: Conceptos de VeRdelta y VeRbeta, Revista Análisis Financiero, 75, 6-18.

INEGI. (2021). Banco de Información Económica. México: Instituto Nacional de Geografía y Estadística. Link: http://www.inegi.org.mx/sistemas/bie/ (consultado el 01 January de 2022)

Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments, New York: John Wiley.

Padula, E. I. & Bacchini, R. D. (2014). Estudio Comparativo de Metodologías para el Cálculo del Valor A Riesgo: Aplicación al Merval. Revista de Investigación en Modelos Financieros, 2.

Sharpe, W. (1964). Capital Assets Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425-442.

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Published

2022-01-01

How to Cite

Gaytán Cortés, J. (2022). Value at Risk (VaR). Mercados Y Negocios, (45), 95–106. https://doi.org/10.32870/myn.vi45.7665

Issue

No. 45 (23): Mercados y Negocios (January- April, 2022)

Section

Economic and Financial Index

License

Copyright (c) 2022 Juan Gaytán Cortés

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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Mercados y Negocios by Department of Mercadotecnia y Negocios Internacionales. University of Guadalajara is licensed under a License Creative Commons Attribution-NonCommercial 4.0 International.


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