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Riesgo de Mercado: Metodologías de Cálculo del VaR
Working Papers
Espen Gaarder - Derivatives.
Models on Models (2007).
Some of the biggest blow-ups in finance are due to people ignoring that financial models are based on other models, like probability models. You also need to understand the limitation of the model behind the model.
PUBLICATIONS
Principios de la Gestión de Riesgo de Crédito bajo Basilea II y III
Tratamiento de la Volatilidad en Riesgo de Mercado
Cálculo del VaR en un portafolio con tres tipos de activos: acciones, opciones y bonos.
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