Value at risk: teoría y aplicaciones

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 asimetrías en la metodología de generación de volatilidades, a través de modelos de heteroscedasticidad asimétricos, de manera de proyectar mejor los niveles de riesgo futuros. Adicionalmente, se discute la metodología de ajuste del Value at Risk en un escenario de iliquidez de los activos que conforman un portafolio. Para esta situación se presenta un mecanismo de ajuste para el cálculo del indicador de riesgo de mercado VaR. Finalmente se efectúa una aplicación metodológica a una muestra de tres instituciones financieras analizando las volatilidades de las utilidades operacionalesValue at Risk, GARCH, Volatility.

Aviation, the environment and planning law

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Inter-organisational safety debate : The case of an alarm system from the air traffic control domain

The management of safety critical operations cannot only be left to the initiative of those individuals directly in contact with the production processes. Society as a whole has a role to play. This work seeks to explore the interface between societal components having a direct active role in those “safety debate”. The reference domain is air traffic management and the interface is among air traffic controllers and pilot – as directly involved in the management of the air traffic, and two Agencies, one responsible for safety investigation after an accident, NTSB, and the other, FAA responsible for regulating, upgrading and training of the workforce. Recent debates in safety management highlight that safe practice is a control problem: the result of effective hierarchical transmissions of safety constraints and the making of the boundaries of acceptable performance visible. In this work we analyze how safety constraints related to an alarm system are represented, transmitted and interpreted by several parties all committed to safety of operations in air traffic management. It has emerged a “miscalibration” pattern where the tendency to ignore the alarm was initially addressed at higher hierarchical levels in relation to alarm design, and only in 2006 was addressed in relation to the core issue of nuisance or false alerts (FA).Peer reviewe