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Administración De Riesgos Mediante La Teoría De Riesgos Extremos

Author

Listed:
  • Pablo Pérez Akaki

    (Tecnológico de Monterrey, Campus Estado de México)

Abstract

En este trabajo se ofrece una medición empírica del Valor en Riesgo (VaR) utilizando la teoría de eventos extremos (EVT), teoría originalmente desarrollada en el ámbito asegurador y que recientemente está siendo utilizada como una medida de administración de riesgos. Se presentan dos aproximaciones empíricas para demostrar que la EVT no solo puede usarse para eventos catastróficos, como es normalmente empleada, sino también en la administración de riesgos de un portafolio de inversiones y la medición de los riesgos de las colas de una cartera de seguros.

Suggested Citation

  • Pablo Pérez Akaki, 2005. "Administración De Riesgos Mediante La Teoría De Riesgos Extremos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(1), pages 41-63, Marzo 200.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:1:p:41-63
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/193
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    More about this item

    Keywords

    VaR; EVT; Riesgos financieros; Carteras de seguros;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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