Estimation of risk in a portfolio of assets

Estimation of risk in a portfolio of assets

This paper introduces the use of extreme value theory (EVT) and copula for the estimation of value at risk (VaR) for a three asset portfolio representative of the Colombian market. Returns on risk factors are adjusted by ARMA GARCH models and innovations for each of them are modeled by Pareto’s gene...

Volledige beschrijving

Bibliografische gegevens
Hoofdauteurs:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
Formaat:	Online
Taal:	spa
Gepubliceerd in:	Universidad Pedagógica y Tecnológica de Colombia 2013
Onderwerpen:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
Online toegang:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

Gelijkaardige items

Analysis of the Maximum Seismic Intensity Through the Theory of Extreme Values
door: Pérez, Jonathan Alfonso
Gepubliceerd in: (2022)

Graphical Methods For Detecting Dependence
door: Guarín-Escudero, Julieth V., et al.
Gepubliceerd in: (2018)

A comparison of two graphical methods for detecting dependence
door: Guarín Escudero, Julieth Veronica, et al.
Gepubliceerd in: (2018)

Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study.
door: Bru Cordero, Osnamir Elias, et al.
Gepubliceerd in: (2018)

Bivariate Model for the Saber11 Tests in Tolima Department (Colombia)
door: Garcia saavedra, Yuri Marcela, et al.
Gepubliceerd in: (2019)

Construcción de Distribuciones Multivariadas con Marginales Dependientes Usando Cópulas en R. 8Construction of Multivariate Distributions with Dependent Marginals Using Copulas in R.)
door: Jaramillo-Elorza, M. C., et al.
Gepubliceerd in: (2015)

Application of the Copula-Graphic Estimator in Juvenile Bocachico Prochilodus Magdalenae Subjected to Different Levels of Salinity.
door: Bru Cordero, O., et al.
Gepubliceerd in: (2016)

Comparison of some estimations of Kendall’s t for interval-censored bivariate data
door: Serna-Morales , Jessica K., et al.
Gepubliceerd in: (2024)

Identification of the agroclimatic suitability in the municipality of Fusagasuga (Cundinamarca) for pea crop (Pisum sativum L.), using participatory mapping
door: Martínez-Maldonado, Fabio Ernesto, et al.
Gepubliceerd in: (2021)

The Global Value Chains of Manufacturing in Mexico (2005-2015)
door: Medina Chamorro, Flor Amparo, et al.
Gepubliceerd in: (2020)

Price Formation in the Value Chain of Eggplant (Solanum melongena L.) in Córdoba, Colombia
door: Martínez-Reina, Antonio María
Gepubliceerd in: (2023)

Identification of Agroclimatic risk areas for dairy livestock systems in Valle de Ubaté y Chiquinquirá and Alto Chicamocha
door: Martínez, Fabio Ernesto, et al.
Gepubliceerd in: (2017)

Some speculation about the risks of negotiate the political peace process based on violent cultural game rules. The case of Colombian catholic religious values
door: Congote-Ochoa, Bernardo
Gepubliceerd in: (2015)

Ethics as an art of living: reflections at “Galileo Galilei” educational institution
door: Ojeda Ruiz, Francy Cathalina
Gepubliceerd in: (2019)

Alternativas y potencialidades de valor agregado en iniciativas turísticas de tipo comunitario. Lecciones a partir del caso de la subprovincia del Alto Ricaurte (Boyacá)
door: Ayala Suárez, Yesika Alejandra, et al.
Gepubliceerd in: (2021)

Equity Analyst Reports and Stock Prices
door: Astaiza Gómez, José Gabriel, et al.
Gepubliceerd in: (2022)

Alternatives and potential for added value in community-type tourism initiatives. Lessons from the case of the Subprovince of Alto Ricaurte (Boyacá)
door: Dueñas Quintero, Diana María ; Universidad Pedagógica y Tecnológica de Colombia, et al.
Gepubliceerd in: (2021)

Relationship between knowledge, wisdom and values: An effort to legitimize wisdom beyond the sciences
door: Zuluaga Duque, John Fredy
Gepubliceerd in: (2017)

School coexistence to improve learnin.
door: López Páez, Hugo Alberto
Gepubliceerd in: (2022)

Analysis of the added value for the quantitative reasoning competency at the Luis Amigó Catholic University in 2021
door: Posada-Hernández, Gabriel Jaime, et al.
Gepubliceerd in: (2023)

The double is one of the predominant structures in fantastic orientation narratives. Not only is it related to theories of the fantastic in its conceptual articulation; it also inherits the same problems of context and dissemination of categories. This ar
door: Sánchez Ávila, Nini Johanna
Gepubliceerd in: (2018)

Intercultural education and teacher training
door: Lafuente Guantes, Maria Isabel
Gepubliceerd in: (2017)

Landscape values in the daily life of coffee growers, references for the sustainable management of the territorial heritage in Quindío, Colombia
door: Duis, Urte
Gepubliceerd in: (2021)

Strengthening of the values of respect, self-esteem, tolerance and responsibility in students at the la playa headquarters.
door: Ochoa Díaz, July Andrea
Gepubliceerd in: (2022)

Business competitiveness model based on the value chain for the coking sector in Colombia
door: Barrera-Rodríguez, Leidy Ximena, et al.
Gepubliceerd in: (2023)

Los valores y la convivencia una tarea significativa en la vida escolar
door: Hernández Castro, Jenny Katherin
Gepubliceerd in: (2017)

Value chain in agroecological organizations: analysis from the triple bottom line
door: Díaz-Ariza, Diana Marcela, et al.
Gepubliceerd in: (2024)

Changes in values in America and in Colombia (1993-2019) : nationalism, racism, Hispanophobia and sexual permissiveness: this is how 36,516 young students in Latin America think in 1993 and 11,322 in 2019
door: Calvo Buezas, Tomás
Gepubliceerd in: (2022)

Speculation about some political impacts of the catholic school prison form: A Colombian case
door: Congote Ochoa, Bernardo
Gepubliceerd in: (2017)

Is university education profitable in Colombia?: an estimation
door: Gil-León, José Mauricio, et al.
Gepubliceerd in: (2020)

El papel de América Latina en el cambio climático y sus atributos de Valor
door: Neira, Juan Alonso
Gepubliceerd in: (2008)

La responsabilidad social del docente para la construcción de la paz
door: Galindo Mahecha, Magda LeoniIde, et al.
Gepubliceerd in: (2019)

Capital gain, real wages and labor efficiency in the manufacturing sector in Colombia
door: Méndez-Sayago, Jhon Alexander
Gepubliceerd in: (2014)

Poetics of Descent in Colombian Caribbean Poetry
door: Bolaño Sandoval, Adalberto
Gepubliceerd in: (2017)

Geographical indications systems, a debate in transformation. Reflections from emerging wine regions and countries
door: Salas Quesada, Maria del Carmen
Gepubliceerd in: (2024)

Analysis of fiscal dependency of municipalities of sixth category in Boyacá, from 1996 to 2012
door: Delgado Ruiz, Siervo Tulio, et al.
Gepubliceerd in: (2015)

Plantas útiles del corregimiento Santa Inés y la vereda San Felipe [San Marcos, Sucre, Colombia]. (Useful Plants in the Corregimiento Santa Inés and Ride San Felipe [San Marcos, Sucre, Colombia].)
door: Barrios Paternina, E., et al.
Gepubliceerd in: (2015)

Aesop's fables adaptation: an alternative for fostering values, oral production and listening comprehension
door: Pedraza Hernández, Blanca Ximena, et al.
Gepubliceerd in: (2018)

An alternative economic policy for Latin America: an urgent need
door: Ariza Barbosa, Nilce
Gepubliceerd in: (2003)

Global Industrial Production Chains in Latin America From A Structuralist Perspective
door: Lauxmann, Carolina Teresita, et al.
Gepubliceerd in: (2021)