Resumen

SALINAS AVILA, John Jairo. Methodologies for measuring market risk. Innovar [online]. 2009, vol.19, n.34, pp.187-199. ISSN 0121-5051.

Financial risk may be defined as the volatility of expected results. Market risk particularly refers to the possibility of suffering losses in financial markets. Numerous methodologies for measuring market risk have been proposed in the literature to date, even though most of these are variants of statistical treatments (parametrical and non-parametrical). The variance-covariance and Montecarlo simulation methods are worth highlighting amongst the former and the historical simulation method amongst the latter. This article was aimed at evaluating the three methodologies mentioned above, showing that no single one can be accepted as being correct, as each has its own strengths and weaknesses.

Palabras clave : financial econometrics; market risk; value in risk; models for measuring financial risk.

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