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/cond-mat/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. http://doi.org/http://dx.doi.org/10.1016/S0378-4266(02)00283-2. 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. Ball, J., & Fang, V. (2006). A survey of value-at-risk and its role in the banking industry. Journal of Financial Education, 32, 1-31. Barone-Adesi, G., Giannopoulos, K., & Vosper, L. (2002). Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS). European Financial Management, 8(1), 31-58. http://doi.org/10.1111/1468-036X.00175. Bera, A. K., & Higgins, M. L. (1993). Arch Models: Properties, Estimation and Testing. Journal of Economic Surveys, 7(4), 305-366. http://doi.org/10.1111/j.1467-6419.1993.tb00170.x. Berkowitz, J., & O’Brien, J. (2002). How Accurate Are Value-at-Risk Models at Commercial Banks? The Journal of Finance, 57(3), 1093-1111. http://doi.org/10.1111/1540-6261.00455. Bhattacharyya, M. (2012). A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns. Journal of Mathematical Finance, 02(01), 13-30. http://doi.org/10.4236/jmf.2012.21002. CBSB. Amendment to the capital accord to incorporate market risks (1996). Recuperado a partir de http://www.bis.org/publ/bcbs24.htm. CBSB. Supervisory framework for the use of «backtesting» in conjunction with the internal models approach to market risk capital requirements (1996). Recuperado a partir de http://www.bis.org/publ/bcbs22.htm. CBSB. (1998, septiembre 16). Performance of Models-Based Capital Charges for Market Risk: 1 July-31 December 1998. Recuperado a partir de http://www.bis.org/publ/bcbs57.htm. CBSB. (2003). Trends in risk integration and aggregation. Recuperado a partir de http://www.bis.org/publ/joint07.htm. CBSB. Amendment to the capital accord to incorporate market risks (2005). Recuperado a partir de http://www.bis.org/publ/bcbs119.htm. CBSB. (2005b, abril 11). Trading Book Survey: A Summary of Responses. Recuperado a partir de http://www.bis.org/publ/bcbs112.htm. CBSB. Convergencia internacional de medidas y normas de capital - Marco revisado. Versión integral (2006). Recuperado a partir de http://www.bis.org/publ/bcbs128.htm. CBSB. (2006b, mayo). Regulatory and market differences: issues and observations. Recuperado a partir de http://www.bis.org/publ/joint15.htm. CBSB. (2012, mayo). Fundamental review of the trading book - consultative document. Recuperado a partir de http://www.bis.org/publ/bcbs219.htm. CGFS. (2001). A survey of stress tests and current practice at major financial institutions. Recuperado a partir de http://www.bis.org/publ/cgfs18.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. http://doi.org/10.1016/j.jbankfin.2005.04.012. Engle, R. (2001). GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives, 15(4), 157-168. http://doi.org/10.1257/jep.15.4.157. Finger, C. C. (2006). How historical simulation made me lazy. RiskMetrics Group. Recuperado a partir de http://gloria-mundi.com/UploadFile/2010-2/ccf_hhs.pdf. 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. http://doi.org/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. http://doi.org/10.3905/jod.1998.407998. Jorion, P. (1997). In Defense of VaR. Derivatives Strategy, 2(4). Recuperado a partir de http://www.derivativesstrategy.com/magazine/archive/1997/0497fea2.asp. Jorion, P. (2007). Value at risk: the new benchmark for managing financial risk (3.a ed.). New York: McGraw-Hill. Jorion, P. (2009). Risk Management Lessons from the Credit Crisis. European Financial Management, 15(5), 923-933. http://doi.org/10.1111/j.1468-036X.2009.00507.x. 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. 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. http://doi.org/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. http://doi.org/10.3905/jod.1995.407942. Lee, C.-F., & Su, J.-B. (2012). Alternative statistical distributions for estimating valueat-risk: theory and evidence. Review of Quantitative Finance and Accounting, 39(3), 309-331. http://doi.org/10.1007/s11156-011-0256-x. McMillan, D. G., & Kambouroudis, D. (2009). Are RiskMetrics forecasts good enough? Evidence from 31 stock markets. International Review of Financial Analysis, 18(3), 117-124. http://doi.org/10.1016/j.irfa.2009.03.006. Mina, J., & Xiao, J. (2001). Return to RiskMetrics: The Evolution of a Standard. RiskMetrics Group. Recuperado a partir de http://www.wu.ac.at/pmg/banking/sbwl/lvs_ws/vk4/rrmfinal.pdf. Pafka, S., & Kondor, I. (2001). 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. http://doi.org/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. Sollis, R. (2009). Value at risk: a critical overview. Journal of Financial Regulation and Compliance, 17(4), 398-414. http://doi.org/http://0-dx.doi.org.cisne.sim.ucm.es/10.1108/13581980911004370. 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. http://doi.org/10.1016/j.intfin.2005.02.001. Taleb, N. (1997, enero). The World According to Nassim Taleb [Derivatives Strategy]. Recuperado a partir de http://www.derivativesstrategy.com/magazine/archive/1997/1296qa.asp. Taleb, N. (2010). The Black Swan: Second Edition: The Impact of the Highly Improbable (2 edition). New York: Random House Trade Paperbacks. UBS. (2008). Shareholder Report on UBS’s Write-Downs. Zurich: UBS. Recuperado a partir de http://maths-fi.com/ubs-shareholder-report.pdf. UBS. (2010). Transparency Report to the Shareholders of UBS AG. Zurich: UBS AG. Recuperado a partir de http://www.ubs.com/global/en/about_ubs/transparencyreport.html. 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. Zumbach, G. (2006). Backtesting risk methodologies from one day to one year. Jorurnal of Risk, 9(2), 55-91.