Valor en riesgo de la bolsa de valores ecuatoriana para los periodos 2015-2017

Abstract

Abstract: Value at risk (VaR) has become a reference methodology between investors and banks to measure the risk market. For the implementation of this model, the parametric methodology (variances-covariances) and the non-parametric methodology (historical method) were used, of six assets of the Ecuadorian stock market, for the periods 2015-2016, in the sample, and 2017, outside of the sample. In addition, based on the Markowitz model, the following models will be developed: maximization of profitability, maximization of the Sharpe ratio and minimization of risk. The results show that the portfolio maximization of profitability and maximization of the Sharpe ratio of the sample period, reflect higher profitability but are the most risky because they have the greatest potential for losses reflected in both the "historical" VaR and the "VaR". variances-covariances ". For the period outside the sample, the one that offers the most profitability is the portfolio of maximization of profitability at the lowest risk. Likewise, a lower level of possibility of loss is obtained with the "historical" method in comparison to that of "variances-covariances"