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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Bibliographic Details

Main Author:	Monroy Osorio, Alejandro
Format:	Article
Language:	Spanish / Castilian
Published:	Facultad de Contaduría Pública y Administración 2015
Subjects:	H Ciencias Sociales en General HB Teorías Económicas, Demografía HF Comercio: Contabilidad, Mercadeo HG Finanzas
Online Access:	http://eprints.uanl.mx/12614/1/12.23%20Art%205%20097_111.pdf