Se tiene una cartera con dos activos, A y B, siendo la posición en el activo B corta (vendida).

Activo A Activo B Activo A Activo B

4/20/2020 52.84 5.95 Posición 120,000 - 256,000
4/21/2020 52.6 5.95
4/22/2020 52.65 5.98
4/23/2020 52.78 6.02 Con los datos proporcionados en la hoja de cálculo se pide:
4/24/2020 52.55 6.06
4/25/2020 52.17 6.01 1.- Calcular el VaR al horizonte temporal de un día y con un nive
mediante la metodología paramétrica estimando las volatilidades
4/26/2020 52.21 6.10 histórica asignando el mismo peso a todos los rendimientos (calcu
4/27/2020 52.45 5.99 empleando toda la serie proporcionada).
4/28/2020 54.37 5.99
4/29/2020 53.8 5.92
4/30/2020 54.3 5.87
2.- Si se elimina la posición en el activo B ¿aumenta o disminuye el
5/1/2020 54.81 5.94 qué?
5/2/2020 53.5 5.89
5/3/2020 52.67 5.80
5/4/2020 52.98 5.83
3.- Calcular el VaR al horizonte temporal de un día y con un nive
5/5/2020 53.4 5.85 mediante la metodología paramétrica estimando las volatilidades
5/6/2020 51.53 5.75 histórica con el modelo EWMA siendo lambda igual a 0.97. Com
5/7/2020 52.3 5.81 rendimientos se calcularán de forma continua y se emplear
proporcionados a la hora de calcular los estadí
5/8/2020 53.64 5.88
5/9/2020 53.28 5.88
5/10/2020 52.13 5.76 4.- Calcular el VaR al horizonte temporal de un día y con un nive
mediante la metodología de simulación histórica estándar (asignan
5/11/2020 50.14 5.59 los escenarios). Los rendimientos se calcularán de forma continua
5/12/2020 49.92 5.51 forma continua(utilizando la fórmula de Excel PERC
5/13/2020 49.82 5.48
5/14/2020 48.735 5.41
5/15/2020 47.18 5.38
5.- ¿Cuál es más alto, el VaR calculado con la metodología paramé
5/16/2020 45.6 5.30 histórica? ¿por qué?
5/17/2020 46.55 5.46
5/18/2020 48.025 5.62
5/19/2020 48.84 5.48
6.- Calcular el VaR al horizonte temporal de un día y con un nive
5/20/2020 48.18 5.39 mediante la metodología de simulación de Monte Carlo suponien
5/21/2020 49.28 5.44 siguen un proceso aleatorio normal y se aplicarán de forma contin
5/22/2020 50.61 5.51 los precios y calcular los valores de la cartera. Calculad el p
continua(utilizando la fórmula de Excel PERCENT
5/23/2020 52.01 5.56
5/24/2020 51.65 5.52
5/25/2020 52.07 5.50
5/26/2020 51.85 5.47
5/27/2020 50.7 5.44
5/28/2020 50.59 5.50
5/29/2020 49.71 5.57
5/30/2020 49.765 5.77
5/31/2020 50.28 5.90
 6/1/2020 49.735 5.94
6/2/2020 49.55 5.92
6/3/2020 49.6 5.92
6/4/2020 48.92 5.84
6/5/2020 48.775 5.81
6/6/2020 48.98 5.84
6/7/2020 48.425 5.77
6/8/2020 47.61 5.77
6/9/2020 49.335 5.76
6/10/2020 50 5.76
6/11/2020 50.15 5.67
6/12/2020 49.835 5.63
6/13/2020 48.715 5.53
6/14/2020 47.32 5.45
6/15/2020 47.935 5.49
6/16/2020 50.26 5.81
6/17/2020 51.69 5.95
6/18/2020 52.57 5.97
6/19/2020 52.32 5.96
6/20/2020 53.24 6.14
6/21/2020 53.02 6.17
6/22/2020 53.89 6.25
6/23/2020 55.1 6.32
6/24/2020 55.17 6.33
6/25/2020 54.55 6.27
6/26/2020 54.42 6.21
6/27/2020 55.48 6.27
6/28/2020 55.08 6.19
6/29/2020 54.6 6.26
6/30/2020 56.59 6.36
7/1/2020 56.9 6.38
7/2/2020 56.03 6.33
7/3/2020 55.81 6.31
7/4/2020 56.32 6.38
7/5/2020 56.81 6.38
7/6/2020 57.1 6.38
7/7/2020 56.46 6.33
7/8/2020 56.72 6.34
7/9/2020 56.04 6.31
7/10/2020 57.29 6.32
7/11/2020 58.97 6.45
7/12/2020 58.77 6.47
7/13/2020 58.24 6.43
7/14/2020 57.15 6.31
7/15/2020 55.56 6.22
7/16/2020 55.03 6.18
7/17/2020 54.65 6.21
7/18/2020 55.91 6.29
7/19/2020 56.58 6.32
7/20/2020 55.12 6.23
7/21/2020 54.33 6.13
7/22/2020 54.17 6.05
7/23/2020 53.21 5.99
7/24/2020 52.23 5.97
7/25/2020 53.2 5.99
7/26/2020 52.7 5.98
7/27/2020 52.6 5.92
7/28/2020 53.14 5.96
7/29/2020 53.07 5.98
7/30/2020 51.96 5.90
7/31/2020 50.34 5.77
8/1/2020 51.75 5.89
8/2/2020 52 5.83
8/3/2020 53.18 6.02
8/4/2020 52.57 6.05
8/5/2020 52.56 6.07
8/6/2020 53.39 6.14
8/7/2020 53.09 6.11
8/8/2020 53.26 6.12
8/9/2020 53.1 6.17
8/10/2020 53.3 6.18
8/11/2020 51.61 6.14
8/12/2020 53.44 6.22
8/13/2020 52.74 6.25
8/14/2020 52.47 6.20
8/15/2020 53.39 6.27
8/16/2020 54.34 6.26
8/17/2020 54.7 6.30
8/18/2020 54.11 6.27
8/19/2020 53.39 6.25
8/20/2020 53.47 6.25
8/21/2020 52.64 6.16
8/22/2020 52.1 6.10
8/23/2020 50.63 6.00
8/24/2020 50.13 6.00
8/25/2020 50.54 6.07
8/26/2020 51.42 6.11
8/27/2020 51.72 6.16
8/28/2020 52.16 6.19
8/29/2020 53.03 6.27
 8/30/2020 53.43 6.27
8/31/2020 53.39 6.31
9/1/2020 53.45 6.30
9/2/2020 54.05 6.25
9/3/2020 53.98 6.24
9/4/2020 54.43 6.27
9/5/2020 52.94 6.13
9/6/2020 54.13 6.19
9/7/2020 54.62 6.23
9/8/2020 54.14 6.19
9/9/2020 53.62 6.12
9/10/2020 53.08 6.10
9/11/2020 52.83 6.10
9/12/2020 53.4 6.08
9/13/2020 54.34 6.10
9/14/2020 52.32 6.02
9/15/2020 51.37 5.97
9/16/2020 51.32 5.97
9/17/2020 52.47 6.03
9/18/2020 52.3 6.05
9/19/2020 53.5 6.06
9/20/2020 53.21 6.08
9/21/2020 54.22 6.15
9/22/2020 53.8 6.10
9/23/2020 52.41 6.09
9/24/2020 53.55 6.09
9/25/2020 52.5 6.04
9/26/2020 52.64 6.07
9/27/2020 52.21 6.07
9/28/2020 52.35 6.10
9/29/2020 51.61 5.98
9/30/2020 51.41 5.97
10/1/2020 52.61 6.11
10/2/2020 51.3 5.97
10/3/2020 51.11 5.96
10/4/2020 52.2 6.03
10/5/2020 51.75 5.99
10/6/2020 53.08 6.09
10/7/2020 53.34 6.13
10/8/2020 51.28 5.96
10/9/2020 50.19 5.89
10/10/2020 50.16 5.92
10/11/2020 51.13 5.98
10/12/2020 52 6.05
10/13/2020 53.23 6.14
10/14/2020 54.54 6.22
10/15/2020 53.95 6.20
10/16/2020 53.25 6.11
10/17/2020 52.5 6.04
10/18/2020 51.82 6.08
10/19/2020 49.82 5.93
10/20/2020 46.455 5.74
10/21/2020 46.945 5.70
10/22/2020 46.51 5.55
10/23/2020 46.05 5.55
10/24/2020 45.28 5.48
10/25/2020 43.63 5.45
10/26/2020 44.9 5.49
10/27/2020 46.955 5.70
10/28/2020 48.92 5.86
10/29/2020 48.815 5.92
10/30/2020 46.7 5.84
10/31/2020 46.595 5.79
11/1/2020 45.835 5.70
11/2/2020 46.395 5.68
11/3/2020 45.465 5.67
11/4/2020 43.675 5.50
11/5/2020 42.6 5.43
11/6/2020 41.805 5.44
11/7/2020 40.615 5.25
11/8/2020 40.615 5.19
11/9/2020 39.31 5.06
11/10/2020 39.335 5.04
11/11/2020 35.61 4.78
11/12/2020 35.72 4.99
11/13/2020 37.225 5.21
11/14/2020 37.525 5.23
11/15/2020 37.5 5.18
11/16/2020 36.69 5.20
11/17/2020 34.21 4.91
11/18/2020 32.75 4.85
11/19/2020 32.72 5.03
11/20/2020 32.975 5.04
11/21/2020 33.445 5.05
11/22/2020 34.36 4.99
11/23/2020 33.56 4.90
11/24/2020 34.395 5.05
11/25/2020 34.735 5.00
11/26/2020 35.87 5.13
11/27/2020 35.645 5.13
11/28/2020 33.42 4.95
11/29/2020 31.3 4.71
11/30/2020 29.66 4.61
12/1/2020 31.64 4.78
12/2/2020 32.23 4.86
12/3/2020 29.8 4.58
12/4/2020 26.12 4.42
12/5/2020 28 4.55
12/6/2020 26.9 4.77
12/7/2020 30.5 5.03
12/8/2020 28.195 5.02
12/9/2020 26.65 4.94
12/10/2020 24.915 5.04
12/11/2020 24.455 4.94
12/12/2020 23.06 4.67
12/13/2020 25.315 4.74
12/14/2020 26.325 4.88
12/15/2020 30.05 5.10
12/16/2020 29.655 5.08
12/17/2020 31.14 5.12
12/18/2020 30.05 5.07
12/19/2020 28.655 4.98
12/20/2020 27.18 4.94
12/21/2020 29.49 5.11
12/22/2020 32.025 5.24
12/23/2020 31.55 5.29
12/24/2020 32.485 5.32
12/25/2020 33.445 5.25
12/26/2020 35.35 5.35
12/27/2020 33.345 5.32
12/28/2020 32.25 5.33
12/29/2020 31.05 5.27
12/30/2020 29.935 5.19
12/31/2020 31.775 5.23
1/1/2021 29.92 5.06
1/2/2021 31.78 5.23
1/3/2021 32 5.29
1/4/2021 30.8 5.20
1/5/2021 30.045 5.19
1/6/2021 35.13 5.45
1/7/2021 36.35 5.38
1/8/2021 32.85 5.26
1/9/2021 28.56 4.97
1/10/2021 29.685 4.97
1/11/2021 31.92 5.07
1/12/2021 30.88 4.91
1/13/2021 30.77 4.97
1/14/2021 31.32 4.95
1/15/2021 30.68 4.81
1/16/2021 30.51 4.79
1/17/2021 32.235 4.95
1/18/2021 31.815 4.85
1/19/2021 29.98 4.74
1/20/2021 29.865 4.74
1/21/2021 28.485 4.77
1/22/2021 28.065 4.87
1/23/2021 26.85 4.66
1/24/2021 25.53 4.61
1/25/2021 24.8 4.56
1/26/2021 25.62 4.55
1/27/2021 25.85 4.58
1/28/2021 28.52 4.80
1/29/2021 28.165 4.80
1/30/2021 29.47 4.96
1/31/2021 28.875 4.97
2/1/2021 31.6 5.02
2/2/2021 33.155 5.10
2/3/2021 33.045 5.06
2/4/2021 32.99 5.03
2/5/2021 31.11 4.90
2/6/2021 32.505 5.04
2/7/2021 30.865 4.87
2/8/2021 30.085 4.82
2/9/2021 27.87 4.71
2/10/2021 27.925 4.75
2/11/2021 27.745 4.70
2/12/2021 28.425 4.72
2/13/2021 30.14 4.79
2/14/2021 29.245 4.75
2/15/2021 30.24 4.80
2/16/2021 30.3 4.84
2/17/2021 29.955 4.83
2/18/2021 29.455 4.73
2/19/2021 30.33 4.80
2/20/2021 30.35 4.84
2/21/2021 31.29 4.96
2/22/2021 31.335 4.83
2/23/2021 30.65 4.72
2/24/2021 29 4.62
2/25/2021 28.455 4.59
2/26/2021 27.895 4.57
2/27/2021 29.585 4.69
2/28/2021 30 4.69
3/1/2021 31.01 4.66
3/2/2021 31.79 4.67
3/3/2021 32.305 4.67
3/4/2021 32.49 4.69
3/5/2021 32.06 4.57
3/6/2021 34.7 4.63
3/7/2021 35.325 4.56
3/8/2021 36.05 4.53
3/9/2021 35.39 4.53
3/10/2021 35.79 4.46
3/11/2021 35.805 4.60
3/12/2021 34.64 4.55
3/13/2021 32.175 4.50
3/14/2021 32.37 4.50
3/15/2021 33.845 4.60
3/16/2021 34.1 4.62
3/17/2021 35.2 4.67
3/18/2021 34.99 4.69
3/19/2021 35.735 4.69
3/20/2021 36.15 4.70
3/21/2021 36.545 4.73
3/22/2021 35.05 4.67
3/23/2021 34.325 4.65
3/24/2021 33.515 4.69
3/25/2021 34.885 4.66
3/26/2021 35.855 4.62
3/27/2021 36.88 4.66
3/28/2021 37.165 4.75
3/29/2021 37.455 4.73
3/30/2021 36.4 4.67
3/31/2021 36.3 4.53
4/1/2021 36.92 4.51
4/2/2021 36.59 4.48
4/3/2021 36.615 4.48
4/4/2021 36.635 4.44
4/5/2021 37.355 4.50
4/6/2021 37.915 4.51
4/7/2021 37.395 4.48
4/8/2021 35 4.37
4/9/2021 35.665 4.34
4/10/2021 37 4.36
4/11/2021 36.945 4.36
4/12/2021 36.575 4.29
4/13/2021 37.42 4.40
4/14/2021 38.48 4.40
4/15/2021 38.94 4.43
4/16/2021 39 4.53
4/17/2021 39.065 4.60
4/18/2021 38.33 4.59
4/19/2021 38 4.53
4/20/2021 37.05 4.48
4/21/2021 37.455 4.42
4/22/2021 37.58 4.35
4/23/2021 37.385 4.32
4/24/2021 36.9 4.23
4/25/2021 35.685 4.18
4/26/2021 35.575 4.26
4/27/2021 35.7 4.25
4/28/2021 34.7 4.14
4/29/2021 33.19 4.03
4/30/2021 32.875 4.00
5/1/2021 30.995 3.89
5/2/2021 31.255 3.96
5/3/2021 32.075 3.90
5/4/2021 30.4 3.79
5/5/2021 29 3.79
5/6/2021 30.99 3.90
5/7/2021 30 3.59
5/8/2021 28.555 3.48
5/9/2021 29.605 3.59
5/10/2021 28.4 3.49
5/11/2021 29.24 3.55
5/12/2021 30.875 3.59
5/13/2021 30.59 3.56
5/14/2021 31.045 3.60
5/15/2021 30.35 3.52
5/16/2021 30.045 3.41
5/17/2021 29.095 3.44
5/18/2021 28.99 3.48
5/19/2021 30.21 3.58
5/20/2021 29.065 3.53
5/21/2021 28.375 3.42
5/22/2021 29.045 3.53
5/23/2021 28.67 3.51
5/24/2021 27.62 3.41
5/25/2021 26.84 3.33
5/26/2021 26.53 3.30
5/27/2021 25.48 3.28
5/28/2021 26.23 3.40
5/29/2021 26.285 3.36
5/30/2021 27.11 3.44
5/31/2021 26.24 3.33
6/1/2021 26.67 3.39
6/2/2021 26.58 3.39
6/3/2021 26.295 3.26
6/4/2021 26.275 3.15
6/5/2021 24.955 3.06
6/6/2021 25.725 3.08
6/7/2021 25.91 3.09
6/8/2021 26.785 3.21
6/9/2021 27.42 3.18
6/10/2021 28.58 3.28
6/11/2021 28.995 3.22
6/12/2021 28.455 3.38
6/13/2021 27.985 3.34
6/14/2021 28.08 3.37
6/15/2021 28.015 3.37
6/16/2021 28.27 3.41
6/17/2021 29.475 3.50
6/18/2021 28.17 3.32
6/19/2021 28.93 3.48
6/20/2021 29.62 3.50
6/21/2021 29.21 3.51
6/22/2021 29.4 3.63
6/23/2021 27.78 3.46
6/24/2021 27.505 3.41
6/25/2021 28.355 3.49
6/26/2021 27.65 3.56
6/27/2021 30.335 3.72
6/28/2021 31.65 3.72
6/29/2021 31.22 3.75
6/30/2021 31.02 3.52
7/1/2021 30.4 3.40
7/2/2021 29.2 3.30
7/3/2021 29.185 3.27
7/4/2021 29.51 3.28
7/5/2021 29.94 3.34
7/6/2021 29.65 3.15
7/7/2021 29.77 3.19
7/8/2021 29.5 3.08
7/9/2021 29.44 3.15
7/10/2021 29.845 3.14
7/11/2021 30.205 3.13
7/12/2021 28.515 2.91
7/13/2021 26.955 2.83
7/14/2021 26.46 2.67
7/15/2021 26.56 2.65
7/16/2021 28.835 2.83
7/17/2021 30.185 2.93
7/18/2021 31.185 2.99
7/19/2021 30.17 2.95
7/20/2021 30.705 2.91
7/21/2021 29.45 2.72
7/22/2021 32 2.87
7/23/2021 33.2 3.11
7/24/2021 33.63 3.19
7/25/2021 33.83 3.15
7/26/2021 34.02 3.10
7/27/2021 33.675 3.05
7/28/2021 33.75 3.05
7/29/2021 33.81 3.06
7/30/2021 33.8 3.05
7/31/2021 34.525 3.26
8/1/2021 35 3.35
8/2/2021 34.385 3.34
8/3/2021 35.225 3.34
8/4/2021 35.015 3.20
8/5/2021 34.775 3.12
8/6/2021 34.18 3.12
8/7/2021 34.9 3.18
8/8/2021 34.53 3.17
8/9/2021 34.305 3.13
8/10/2021 33.84 3.07
8/11/2021 34.555 3.15
8/12/2021 34.87 3.22
8/13/2021 34.51 3.30
8/14/2021 35.22 3.27
8/15/2021 37.145 3.49
8/16/2021 37.775 3.59
8/17/2021 38.165 3.51
8/18/2021 39.01 3.56
8/19/2021 38.92 3.64
8/20/2021 38.31 3.62
8/21/2021 39.99 3.78
8/22/2021 40.195 3.78
8/23/2021 39.535 3.74
8/24/2021 39.525 3.75
8/25/2021 38.915 3.71
8/26/2021 39.665 3.78
8/27/2021 39.065 3.76
8/28/2021 39.51 3.79
8/29/2021 37.335 3.67
8/30/2021 37.895 3.64
8/31/2021 36.98 3.53
9/1/2021 38.27 3.57
9/2/2021 37.685 3.68
9/3/2021 37.81 3.73
9/4/2021 38.045 3.69
9/5/2021 39.39 3.79
9/6/2021 38.665 3.78
9/7/2021 38.055 3.71
9/8/2021 37.695 3.71
9/9/2021 38.795 3.77
9/10/2021 38.45 3.75
9/11/2021 39.005 3.77
9/12/2021 40.695 3.94
9/13/2021 41.755 4.07
9/14/2021 41.775 4.08
9/15/2021 40.79 3.98
9/16/2021 40.9 3.98
9/17/2021 40.045 3.88
9/18/2021 40.29 3.94
9/19/2021 39.625 3.98
9/20/2021 39.125 3.98
9/21/2021 38.99 3.95
9/22/2021 39.395 4.00
oja de cálculo se pide:

mporal de un día y con un nivel de confianza del 99%

ca estimando las volatilidades y correlaciones de forma
todos los rendimientos (calculados de forma continua y
o toda la serie proporcionada).

vo B ¿aumenta o disminuye el riesgo de la cartera? ¿por

qué?

mporal de un día y con un nivel de confianza del 99%

ca estimando las volatilidades y correlaciones de forma
endo lambda igual a 0.97. Como en la pregunta 1, los
e forma continua y se emplearán todos los datos
a la hora de calcular los estadísticos.

mporal de un día y con un nivel de confianza del 99%

ión histórica estándar (asignando el mismo peso a todos
e calcularán de forma continua. Calcular el percentil de
ando la fórmula de Excel PERCENTIL.INC).

do con la metodología paramétrica o con la metodología

histórica? ¿por qué?

mporal de un día y con un nivel de confianza del 99%

ación de Monte Carlo suponiendo que los rendimientos
y se aplicarán de forma continua a la hora de recuperar
ores de la cartera. Calculad el percentil de forma
o la fórmula de Excel PERCENTIL.INC).