Valor en Riesgo mediante Simulación Histórica en un entorno de tasas negativas Value at Risk using Historical Simulation upon negative rates
Abstract. 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 ra...
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| Format: | Article |
| Language: | Spanish / Castilian |
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Facultad de Contaduría Pública y Administración
2015
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| Online Access: | http://eprints.uanl.mx/12614/1/12.23%20Art%205%20097_111.pdf |
| Summary: | Abstract. 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.
Resumen. En años recientes un gran número de naciones ha adoptado una política monetaria de tasas de interés bajas con el fin de impulsar la economía, medida resultante a
partir de la última crisis financiera del 2007. La reducción de genera errores en el cálculo del Valor en Riesgo de ciertos instrumentos cuando las tasas tienden a valores negativos. |
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