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http://hdl.handle.net/2445/97564Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bolancé Losilla, Catalina | - |
| dc.contributor.author | Guillén, Montserrat | - |
| dc.contributor.author | Padilla Barreto, Alemar Elaine | - |
| dc.date.accessioned | 2016-04-18T11:01:26Z | - |
| dc.date.available | 2016-04-18T11:01:26Z | - |
| dc.date.issued | 2015 | - |
| dc.identifier.uri | http://hdl.handle.net/2445/97564 | - |
| dc.description.abstract | El propósito de éste trabajo, es presentar una forma de cuantificar el valor en riesgo de una cartera de activos mediante dos medidas de riesgo ampliamente conocidas como lo son el VaR y el TVaR. Para ello, utilizamos cópulas paramétricas bivariantes y el método de simulación de Monte Carlo. | ca |
| dc.format.extent | 18 p. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | spa | ca |
| dc.publisher | Universitat de Barcelona. Riskcenter | ca |
| dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201501.pdf | - |
| dc.relation.ispartof | UB Riskcenter Working Paper Series, 2015/01 | - |
| dc.relation.ispartofseries | [WP E-RC15/01] | - |
| dc.rights | cc-by-nc-nd, (c) Bolancé Losilla et al., 2015 | - |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | - |
| dc.source | UB RISKCENTER – Working Papers Series | - |
| dc.subject.classification | Dependència (Estadística) | cat |
| dc.subject.classification | Risc (Economia) | cat |
| dc.subject.classification | Mercat financer | cat |
| dc.subject.classification | Risc de crèdit | cat |
| dc.subject.classification | Anàlisi financera | cat |
| dc.subject.other | Dependence (Statistics) | eng |
| dc.subject.other | Risk | eng |
| dc.subject.other | Financial market | eng |
| dc.subject.other | Credit risk | eng |
| dc.subject.other | Investment analysis | eng |
| dc.title | Estimación del riesgo mediante el ajuste de cópulas | spa |
| dc.type | info:eu-repo/semantics/workingPaper | ca |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
| Appears in Collections: | UB RISKCENTER – Working Papers Series | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Risk15-01_Bolance.pdf | 2.08 MB | Adobe PDF | View/Open |
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