VALUE AT RISK USING SMOOTHING TECHNIQUES: A PROPOSAL IN THE FOREIGN EXCHANGE MARKET

被引：0

作者：

Reyes Garcia, Jorge Luis ^{[1
]}

Morales Castro, Arturo ^{[2
]}

机构：

[1] Univ Nacl Autonoma Mexico, Fac Ciencias, Ciudad De Mexico, Mexico

[2] Univ Nacl Autonoma Mexico, Fac Contaduria & Adm, Div Posgrad & Invest, FCyA UNAM, Ciudad De Mexico, Mexico

来源：

DIMENSION EMPRESARIAL | 2018年 / 16卷 / 02期

关键词：

Exchange rate volatility; VAR; Monte Carlo Simulation;

D O I：

10.15665/rde.v15i1+E1.826

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

One of the main problems that are exposed companies and financial institutions in Mexico is the volatility in the exchange rate Peso/Dollar when operating or in the valuation of financial assets. This article analyzes and compares the behavior of value at risk [VAR] under three different methodologies: historical simulation, Monte Carlo Simulation and straightening. An application to the exchange rate in periods of Precrisis, Postcrisis and economic crisis of 2008 is performed to look at the implications of the VAR calculation. We conclude that the straightening VAR methodology is more accurate.

引用

页码：99 / 110

页数：12