ADMINISTRACIÓN DE RIESGOS MEDIANTE LA TEORÍA DE RIESGOS EXTREMOS

Authors

  • Pablo Pérez Akaki Escuela de Graduados en Administración y Dirección de Empresas Tecnológico de Monterrey, Campus Estado de México

DOI:

https://doi.org/10.21919/remef.v4i1.193

Abstract

This paper offers an empirical estimation of Value at Risk (VaR) using Extreme Value Theory (EVT), a theory originally developed in insurance, that recently has been widely used in financial risk management. This paper offers two cases that show that EVT can be used, additionally to catastrophic events in insurance, in risk management in a financial portfolio and to describe the tails in a insurance pool.

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How to Cite

Pérez Akaki, P. (2017). ADMINISTRACIÓN DE RIESGOS MEDIANTE LA TEORÍA DE RIESGOS EXTREMOS. Revista Mexicana De Economía Y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 4(1). https://doi.org/10.21919/remef.v4i1.193

Issue

Vol. 4 No. 1: Marzo

Section

Artículos