{"id":1039,"date":"2022-04-21T13:13:27","date_gmt":"2022-04-21T19:13:27","guid":{"rendered":"https:\/\/madrid.ufm.edu\/masters\/?post_type=curso&p=1039"},"modified":"2024-07-12T08:17:32","modified_gmt":"2024-07-12T14:17:32","slug":"financial-econometrics","status":"publish","type":"curso","link":"https:\/\/madrid.ufm.edu\/masters\/curso\/financial-econometrics\/","title":{"rendered":"Financial Econometrics"},"content":{"rendered":"

El curso Econometr\u00eda Financiera involucra la aplicaci\u00f3n de m\u00e9todos estad\u00edsticos para datos financieros con el objetivo de realizar decisiones financieras eficientes. Este curso puede ser \u00fatil para inversores privados y tambi\u00e9n para organizaciones financieras o econ\u00f3micas que realizan inversiones en los mercados financieros locales o globales.<\/p>\n

Econometr\u00eda Financiera proporciona estimaciones estad\u00edsticas, por ejemplo, del retorno esperado (por usar los modelos CAPM, de Fama-French, la teor\u00eda de valoraci\u00f3n por arbitraje o los modelos ARMA) y del riesgo (volatilidad, valor en riesgo, expected shortfall <\/em>o los modelos GARCH). Estas estimaciones ayudan al inversor para gestionar el riesgo financiero o para formar portafolios \u00f3ptimos. En el curso vamos a ver diferentes m\u00e9todos de optimizaci\u00f3n de portafolios que involucran diferentes estimadores para el retorno esperado y para la matriz de varianza-covarianza de los retornos en el portafolio y tambi\u00e9n involucran diferentes estrategias de portafolios (por ejemplo, estrategia de m\u00ednima varianza, estrategia de media-varianza, optimizaci\u00f3n de portafolios bajo la restricci\u00f3n de posiciones largas).<\/p>\n

Tambi\u00e9n vamos a ver diferentes m\u00e9todos para estimar el valor en riesgo (VaR) y el expected shortfall<\/em> de los portafolios. Para VaR, vamos a realizar contrastes (backtesting<\/em>) para validar el uso pr\u00e1ctico. Finalmente, tambi\u00e9n vamos a ver un m\u00e9todo general para la valoraci\u00f3n de los derivados financieros, que se puede aplicar para diferentes derivados financieros sofisticados, por ejemplo para las opciones ex\u00f3ticas.<\/p>\n","protected":false},"excerpt":{"rendered":"

El curso Econometr\u00eda Financiera involucra la aplicaci\u00f3n de m\u00e9todos estad\u00edsticos para datos financieros con el objetivo de realizar decisiones financieras eficientes. Este curso puede ser \u00fatil para inversores privados y tambi\u00e9n para organizaciones financieras o econ\u00f3micas que realizan inversiones en los mercados financieros locales o globales. Econometr\u00eda Financiera proporciona estimaciones estad\u00edsticas, por ejemplo, del retorno…<\/p>\n","protected":false},"template":"","class_list":["post-1039","curso","type-curso","status-publish","hentry"],"yoast_head":"\nFinancial Econometrics - Masters<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/madrid.ufm.edu\/masters\/curso\/financial-econometrics\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Financial Econometrics - Masters\" \/>\n<meta property=\"og:description\" content=\"El curso Econometr\u00eda Financiera involucra la aplicaci\u00f3n de m\u00e9todos estad\u00edsticos para datos financieros con el objetivo de realizar decisiones financieras eficientes. 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