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Valor en Riesgo Utilizando Cópulas Financieras: Aplicación al Tipo de Cambio Mexicano (2002-2011)
Company: Contabilidad y Negocios
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: January
Resource Link: Click here to open
Pages: 57-68
Download Count: 0
View Count: 917
Comment Num: 0
Language: Spanish
Source: article
Who Can Read: Free
Date: 1-11-2013
Publisher: Administrator
Summary
The main objective of this research is to analyze whether the Mexican exchange rate market, risk assessment using traditional VaR and VaR with copulas methodologies are more accurate when the estimates are made for a wide historical time-series or two periods for certain, helping it to predict the maximum losses that may be, with the main motivation to have a efficient hedging strategy. The principal conclusion is that assessing risk with these methodologies, the series does not necessarily have to include more than five years, considering that the use of copulas as a dependent measure make that the prediction fits better to the movements of the real returns.
(volume 7, number 14)
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Author(s)
Plascencia Cuevas, Tania N. Sign in to follow this author
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