Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas

Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas

On recent years many countries have tried to reactivate their economies with a monetary policy that has established low interest rate levels as an effect of 2007 financial crisis. This rate reduction generates misleading results on Value at Risk calculations on certain instruments when rates tend t...

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Bibliographic Details
Main Author: Alejandro Monroy Osorio
Format: Article
Language:English
Published: Universidad Autónoma de Nuevo León 2015-01-01
Series:Innovaciones de Negocios
Subjects:
historical simulation
mexico
negative areas
value at risk
Online Access:http://www.web.facpya.uanl.mx/rev_in/Revistas/12_23/12.23%20Art%205%20097_111.pdf
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spelling doaj-b40b1b4ff85d4beebd43f90953a9917b2020-11-24T21:57:26ZengUniversidad Autónoma de Nuevo LeónInnovaciones de Negocios2007-11912015-01-012312097111Valor en riesgo mediante simulacioon historica en un entorno de tasas negativasAlejandro Monroy Osorio0Universidad Autonoma de Nuevo LeonOn recent years many countries have tried to reactivate their economies with a monetary policy that has established low interest rate levels as an effect of 2007 financial crisis. This rate reduction generates misleading results on Value at Risk calculations on certain instruments when rates tend to negative values. http://www.web.facpya.uanl.mx/rev_in/Revistas/12_23/12.23%20Art%205%20097_111.pdfhistorical simulationmexiconegative areasvalue at risk
collection DOAJ
language English
format Article
sources DOAJ
author Alejandro Monroy Osorio
spellingShingle Alejandro Monroy Osorio
Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
Innovaciones de Negocios
historical simulation
mexico
negative areas
value at risk
author_facet Alejandro Monroy Osorio
author_sort Alejandro Monroy Osorio
title Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
title_short Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
title_full Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
title_fullStr Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
title_full_unstemmed Valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
title_sort valor en riesgo mediante simulacioon historica en un entorno de tasas negativas
publisher Universidad Autónoma de Nuevo León
series Innovaciones de Negocios
issn 2007-1191
publishDate 2015-01-01
description On recent years many countries have tried to reactivate their economies with a monetary policy that has established low interest rate levels as an effect of 2007 financial crisis. This rate reduction generates misleading results on Value at Risk calculations on certain instruments when rates tend to negative values.
topic historical simulation
mexico
negative areas
value at risk
url http://www.web.facpya.uanl.mx/rev_in/Revistas/12_23/12.23%20Art%205%20097_111.pdf
work_keys_str_mv AT alejandromonroyosorio valorenriesgomediantesimulacioonhistoricaenunentornodetasasnegativas
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