Cálculo de VaR a partir de simulaciones Monte Carlo de rendimientos de activos financieros, con distribuciones no paramétricas y dependientes, utilizando el Método de Iman-Conover

Juan Sampieri, Barbara Ruth Trejo Becerril () and Luis Manuel González de Salceda Ruiz ()
Additional contact information
Barbara Ruth Trejo Becerril: Grupo Financiero HSBC
Luis Manuel González de Salceda Ruiz: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2014, vol. 8, issue 1, 37-59

Abstract: The main purpose of this research work is to present a Monte Carlo model focused in the simulation of vectors with financial assets returns, starting from historical empirical returns series, in which the simulated series have the same probability distributions as the empirical (no distribution is assumed a priori) and save between then the same rank correlation as the observed. The case study shows the application of the model to a portfolio constituted by 30 stocks of the Mexican IPC, for which 100,000 simulations of daily returns for each stock are performed, the frequency distribution of the portfolio is obtained, and VaR is calculated with a 99 % confidence level, for a time horizon of one day

Keywords: Simulación Monte Carlo; Método de Iman-Conover; Valor en Riesgo (search for similar items in EconPapers)
JEL-codes: C15 C63 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://alejandria.ccm.itesm.mx/egap/documentos/201 ... onzalezdeSalceda.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201403

Access Statistics for this article

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) is currently edited by José Antonio Núñez

More articles in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) from Tecnológico de Monterrey, Campus Ciudad de México Contact information at EDIRC.
Bibliographic data for series maintained by José Antonio Núñez ().