Bibliographical references


Acerbi, C., Nordio, C., & Sirtori, C. (2008). Expected Shortfall as a Tool for Financial Risk Management. arXiv:cond-mat/0102304. Recuperado a partir de http://arxiv.org/abs/condmat/0102304

Acerbi, C., & Tasche, D. (2002). Expected Shortfall: a natural coherent alternative to Value at Risk. Journal of Banking and Finance, 26(7), 1505-1518. doi:http://dx.doi.org/10.1016/S0378-4266(02)00283-2

Adams, M., & Thornton, B. (2009). Black Swans and VaR. Presentado en Academic and Business Research Institute Conference, Orlando. Recuperado a partir de http://www.aabri.com/manuscripts/131653.pdf

Alexander, C. (2008). Value-at-Risk Models (Vol. 4). John Wiley & Sons.

Angelidis, T., Benos, A., & Degiannakis, S. A. (2004). The Use of GARCH Models in VaR Estimation. Statistical Methodology, 1(2), 105-128.

Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228. doi:DOI: 10.1111/1467-9965.00068

Barone-Adesi, G., Giannopoulos, K., & Vosper, L. (2002). Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS). European Financial Management, 8(1), 31-58.doi:10.1111/1468-036X.00175

Bhattacharyya, M. (2012). A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns. Journal of Mathematical Finance, 02(01), 13-30. doi:10.4236/jmf.2012.21002

CBSB. (1996, enero 4). Supervisory framework for the use of «backtesting» in conjunction with the internal models approach to market risk capital requirements. Recuperado a partir dehttp://www.bis.org/publ/bcbs22.htm

CBSB. (2005, noviembre 15). Amendment to the capital accord to incorporate market risks. Recuperado a partir de http://www.bis.org/publ/bcbs119.htm

CBSB. (2011a, enero 31). Messages from the academic literature on risk measurement for the trading book. Recuperado a partir de http://www.bis.org/publ/bcbs_wp19.htm

CBSB. (2011b, junio 1). Basel III: A global regulatory framework for more resilient banks and banking systems - revised version June 2011. Recuperado a partir de http://www.bis.org/publ/bcbs189.htm

CBSB. (2012, mayo 3). Fundamental review of the trading book - consultative document. Recuperado a partir de http://www.bis.org/publ/bcbs219.htm

CBSB. (2013, octubre 31). Fundamental review of the trading book - second consultative document issued by the Basel Committee. Recuperado a partir de http://www.bis.org/press/p131031.htm

Coleman, T. F., Alexander, S., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of derivatives. Journal of Banking & Finance, 30(2), 583-605. doi:10.1016/j.jbankfin.2005.04.012

Consejo de Estabilidad Financiera. (2013). 2013 update of group of global systemically important banks (G-SIBs). Recuperado a partir de https://www.financialstabilityboard.org/publications/r_131111.htm

Embrechts, P., Puccetti, G., Rüschendorf, L., Wang, R., & Beleraj, A. (2014). An Academic Response to Basel 3.5. Risks, 2(1), 25-48. doi:10.3390/risks2010025

Emmer, S., Kratz, M., & Tasche, D. (2013). What is the best risk measure in practice? A comparison of standard measures. arXiv:1312.1645 [q-fin]. Recuperado a partir de http://arxiv.org/abs/1312.1645

González, M., & Nave, J. M. (2010). Efficiency in market risk measures techniques face to crisis situations. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 39(145), 41-64. doi:10.1080/02102412.2010.10779678

Hendricks, D. (1996). Evaluation of Value-at-Risk Models Using Historical Data. Economic Policy Review 1996 - Federal Reserve Bank of New York, 2(1), 39-70.

Holton, G. A. (2014). Value-at-Risk: Theory and Practice (2.a ed.). Recuperado a partir de http://value-at-risk.net/

Hull, J. C., & White, A. D. (1998). Value at Risk When Daily Changes in Market Variables are not Normally Distributed. The Journal of Derivatives, 5(3), 9-19. doi:10.3905/jod.1998.407998

J.P.Morgan/Reuters. (1996). 1996 RiskMetrics Technical Document. Recuperado a partir de http://www.msci.com/resources/research_papers/technical_doc/1996_riskmetrics_technical_document.html

Jorion, P. (2007). Value at risk: the new benchmark for managing financial risk (3.a ed.). New York: McGraw-Hill.

Kuester, K., Mittnik, S., & Paolella, M. S. (2006). Value-at-Risk Prediction: A Comparison of Alternative Strategies. Journal of Financial Econometrics, 4(1), 53-89. doi:10.1093/jjfinec/nbj002

Kupiec, P. H. (1995). Techniques for Verifying the Accuracy of Risk Measurement Models. The Journal of Derivatives, 3(2), 73-84. doi:10.3905/jod.1995.407942

Lee, C.-F., & Su, J.-B. (2012). Alternative statistical distributions for estimating value-at-risk: theory and evidence. Review of Quantitative Finance and Accounting, 39(3), 309-331. doi:10.1007/s11156-011-0256-x

Pafka, S., & Kondor, I. (2008). Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets. Physica A: Statistical Mechanics and its Applications, 299(1-2), 305-310. doi:10.1016/S0378-4371(01)00310-7

Rowe, D. (2013). Risk Management Beyond VaR. Presentado en Federal Reserve Bank of Atlanta, 2013 Financial Markets Conference «Maintaining Financial Stability: Holding a Tiger by the Tail», Atlanta;Georgia. Recuperado a partir de https://www.frbatlanta.org/documents/news/conferences/13fmc_rowe.pdf

Roy, I. (2011). Estimating Value at Risk using Filtered Historical Simulation in the Indian capital market. Reserve Banks of INdia Occasional Papers, 32(2). Recuperado a partir de http://rbidocs.rbi.org.in/rdocs/Content/PDFs/OCIEVR261012_A3.pdf

Ruiz, J. R., Stupariu, P., & Vilariño, Á. (2013). Elementos explicativos en la gestación de la crisis de las cajas de ahorro: el marco regulatorio bancario y la actuación supervisora. En Actas XV REUNIÓN ECONOMÍA MUNDIAL. Santander. Recuperado a partir de http://www.xvrem.unican.es/?page_id=1299

Santander. (2010). Informe de Auditoría y Cuentas Anuales Consolidadas. Recuperado a partir de http://memoria.santander.webfg.com/2010/descargas/4.2_SAN_Cuentas_Consolidadas2010_es.pdf

So, M. K. P., & Yu, P. L. H. (2006). Empirical analysis of GARCH models in value at risk estimation. Journal of International Financial Markets, Institutions and Money, 16(2), 180-197.doi:10.1016/j.intfin.2005.02.001

Vilariño, Á. (2001). Turbulencias financieras y riesgos de mercado. Madrid: Prentice Hall.

Vilariño, Á. (2011). Análisis de los modelos generalmente aceptados para la estimación del valor razonable de los instrumentos financieros en condiciones normales y de estrés (Tésis inédita). Universidad Complutense de Madrid, Madrid. Recuperado a partir de http://cisne.sim.ucm.es/search*spi~S2/X?SEARCH=An%C3%A1lisis%20de%20los%20