Portfolio Construction Based on Implied Correlation Information and Value at Risk

  • Jesús Rogel - Salazar University of Hertfordshire
  • Roberto Tella Rolls-Royce PLC, Group Finance Treasury
Palabras clave: Implied correlation, Value at Risk, VaR, Portfolio construction, Risk

Resumen

Valor en Riesgo (VaR) es una medida usada comúnmente para establecer, dado un nivel de confianza, el peor caso de pérdidas en activos. La correlación implícita obtenida a partir de VaR es una forma alternativa del coeficiente de correlación calculada basándose en rendimiento histórico y en un pronóstico de la peor pérdida. En este trabajo presentamos un tratamiento accesible para estudiantes de economía, finanzas y áreas afines con el objetivo de familiarizar al lector con este estimador de riesgo. Con el uso de tres estudios de caso analizamos el efecto que la correlación implícita apartir de VaR tiene en carteras de tamaño creciente. Calculamos el VaR de cada activo así como la media de correlación  implícita. Dicho valor es usado para ajustar las fracciones del presupuesto en la cartera original. Hacemos un seguimiento comparativo de carteras en un plazo de 50 días para identificar tendencias entre el tipo de cartera y riesgo encontrado.

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Publicado
2016-01-16
Cómo citar
Rogel - Salazar, J., & Tella, R. (2016). Portfolio Construction Based on Implied Correlation Information and Value at Risk. EconoQuantum, 12(1), 125-144. https://doi.org/10.18381/eq.v12i1.4856