VALOR EN RIESGO RELATIVO (VeR): MÁS ALLÁ DE LA TEORÍA DE CARTERAS

Abstract

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<style> /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Tabela normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New Roman"; mso-fareast-theme-font:minor-fareast; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:"Times New Roman"; mso-bidi-theme-font:minor-bidi;} </style> <![endif]--> <p class="MsoNormal"><strong><span lang="ES">RESUMEN</span></strong></p> <p class="MsoNormal"><span lang="ES">En los últimos años, el Valor en Riesgo (VeR) se ha convertido en todo un referente dentro de la industria bancaria, no sólo como medida del riesgo de mercado sino también del de crédito. Precisamente, con este trabajo, pretendemos poner de manifiesto la utilidad de dicha medición estadística que, en definitiva, no es más que un estadio evolutivo superior allende la Teoría de Carteras de Markowitz. En este sentido, demostramos empíricamente cómo la diversificación, por número de títulos, reduce el VeR relativo de una posición en renta variable nacional debido al efecto de la correlación. </span></p> <p class="MsoNormal"><span lang="ES">Al mismo tiempo, aprovechamos este desarrollo metodológico para definir algunas magnitudes relevantes en términos de VeR.</span></p> <p class="MsoNormal"><strong><span lang="ES">Palabras clave</span></strong><span lang="ES">: diversificación, valor en riesgo (ver), ganancias<span> </span>en riesgo (ear), valor en riesgo relativo, simulación de montecarlo.</span></p>