Documentos y artículos
Documentación con Anexos
Introduction to VaR (Value-at-Risk) (Zvi Wiener, 1997)
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A Review of Backtesting and Backtesting Procedures (Sean D. Campbell, 2005)
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A Review of Backtesting and Backtesting Procedures (Sean D. Campbell, 2005)
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Generating market risk scenarios using principal components analysis:methodological and practical considerations (Mico Loretan, 1997))
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Efficient Monte Carlo Mtehods for Value-at- Risk (Paul Glasserman, 2000)
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Var: History or simulation?, George Skiadopoulos, RISK September 2003
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The supervisory treatment of banks' market risk, Stephanie Weston and Brian Gray, December 1994, Bank Supervision Department, Reserve Bank of Australia
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RiskMetrics Classic (RMG) (necesita registrarse)
Risk measurement framework (RMG)
Statistics of Financial market returns
Risk Modeling of Financial Instruments
RiskMetrics (necesita registrarse)
Return to RiskMetrics: The evolution of a standard
Otras referencias
Variance reduction techniques for monte carlo estimates of value at risk (Fuglsbjerg, Brian)
Nonparametric var techniques: myths and realities (Barone-Adesi, Giovanni and Giannopoulos)
Filtering Historical Simulations: Backtesting analysis (Barone-Adesi, Giovanni and Giannopoulos)
Identifying stress test scenarios (Thomas Breuer)
Analytical value-at-risk with jumps and credit risk (Darrell Duffie and Jun Pan)
