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 Data Sets

BackTesting and Appendices

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)

Comparing different methods for estimating value-at-risk for actual nonlinear portfolios (Maria Coronado)

Analytical value-at-risk with jumps and credit risk (Darrell Duffie and Jun Pan)

Risk analysis for asset managers: Historical simulation, the bootstrap approach and value at risk caculation (M. Pallota and R. Zenti )

The most general methodology to create a valid correlation matrix for risk management and option pricing purposes (Ricardo Rebonato)