El concepto de Value at Risk (valor del riesgo) se ha popularizado hace ya casi una década. Este artículo describe el significado de este concepto, y presenta aplicaciones sobre carteras de activos de bonos, acciones, forwards de tasa de interés y de tipos de cambio, y swaps. Se introducen...

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....