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Modelo evolutivo del impacto de técnicas VaR en los mercados financieros
[Evolutionary model of the impact of VaR techniques on financial markets]

Author

Listed:
  • Bàrbara Llacay

    (Universidad de Barcelona (España))

  • Gilbert Peffer

    (Centre Internacional de Mètodes Numèrics en Enginyeria (CIMNE). Barcelona (España))

Abstract

En los últimos años, diversos autores han advertido del uso cada vez más extendido de ciertas técnicas de gestión del riesgo por parte de las entidades financieras, argumentando que esto puede provocar una mayor inestabilidad del mercado. Para analizar estas afirmaciones, presentamos un modelo basado en la teoría de juegos evolutivos de un mercado financiero, en el que parte de los inversores utilizan la técnica del VaR para gestionar su riesgo. Estudiamos la evolución de este mercado mediante simulaciones, y confirmamos que el uso de modelos de gestión del riesgo puede inducir regímenes de inestabilidad en el mercado, caracterizados por cambios bruscos en el precio del activo y marcados aumentos de la volatilidad.

Suggested Citation

  • Bàrbara Llacay & Gilbert Peffer, 2023. "Modelo evolutivo del impacto de técnicas VaR en los mercados financieros [Evolutionary model of the impact of VaR techniques on financial markets]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 36(1), pages 1-26, December.
    • Handle: RePEc:pab:rmcpee:v:36:y:2023:i:1:p:4-20
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.6839
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    More about this item

    Keywords

    Gestión de riesgo; VaR; Teoría de juegos evolutivos; Mercados financieros; Risk management; Evolutionary game theory; Financial markets;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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