Resumo

PAREJA VASSEUR, Julian; GIRALDO CERON, Juan  e  ZAPATA VALENCIA, Santiago. Market risk non-parametric methods: Hong Kong case. Revista de coyuntura y perspectiva [online]. 2017, vol.2, n.4, pp.45-80. ISSN 2415-0622.

Abstract In this paper are used both traditional and conditional value-at-risk, in order to examine the behavior of market risk for the Hang Seng index. It is appropriated the use of the Monte Carlo simulation methodology, non-parametric methods and in addition, the robustness of the results is analyzed by means of hedge tests. The main finding indicates that, two of the four methods used, have a predictive power of the stock market crises in Hong Kong. For future research, the application of other type of methodologies it is promoted, allowing to be modeled the market situation appropriately.

Palavras-chave : value at risk (VaR); Monte Carlo simulation; volatility; Hang Seng index (HSI).

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )