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Aplicación de la teoría del valor extremo y cópulas multivariadas para la medición del VaR de un portafolio de monedas de países latinoamericanos
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2020-11-04)
Se aplica la teoría del valor extremo (EVT, por sus siglas en inglés), junto al enfoque de cópulas para la estimación del valor en riesgo (VaR) y el Expected Shortfall (es) de un portafolio de cinco monedas de países ...
Análisis comparativo de técnicas (IMA) para determinar capitales mínimos regulados por Basilea, ante crisis en mercados emergentes
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2014-12-20)
Una alternativa sugerida por normas de Basilea para estimar el Valor en Riesgo (VaR) como medida del riesgo de mercado es el método de modelos internos (IMA), que permite a las instituciones reguladas calcularlo utilizando ...
Estimación del valor en riesgo en la Bolsa Mexicana de valores usando modelos de heteroscedasticidad condicional y teoría de valores extremosValue-at-risk-estimation in the Mexican Stock Exchange using conditional heteroscedasticity models and theory of extreme values
(Centro de Investigación y Docencia Ecónomicas, 2019)
Medium range optimization of copper extraction planning under uncertainty in future copper prices
(Elsevier, 2014)
Deterministic mine planning models along a time horizon have proved to be very effective in supporting
decisions on sequencing the extraction of material in copper mines. Some of these models have been
developed for, and ...
Aplicação do CVaR no Planejamento da Operação do Sistema Interligado Nacional
(2022)
Over the last few years, rainfall in some of the main river basins that make up the Brazilian Interconnected System has been significantly below the historical average, in some of them for the year 2021; it was the worst ...
Modelos de heterocedasticidade condicional: um estudo comparativo
(Florianópolis, SC, 2021)
Análise de volatilidade e risco do mercado transoceânico à vista deminério de ferro via modelos ARMA-GARCH e medidas de risco VaR eCVaR
(Universidade Federal de Minas GeraisUFMG, 2016-08-05)
With the change in the seaborne iron ore pricing mechanism in 2009, from an annual benchmark system to a system based on monthly spot prices, as well as the spot sales without a pre-agreement, market agents have to deal ...
Measuring and testing for the systemically important financial institutions
(Universidad del RosarioFacultad de Economía, 2011)
This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, ...
Risk-averse feasible policies for large-scale multistage stochastic linear programs
(Springer Heidelberg, 2013-04)
We consider risk-averse formulations of stochastic linear programs having a structure that is common in real-life applications. Specifically, the optimization problem corresponds to controlling over a certain horizon a ...