Value at Risk and simulation: a systematic review

Authors

DOI:

https://doi.org/10.17981/econcuc.43.1.2022.Econ.3

Keywords:

Value at Risk, VaR, Bibliometric, Risk, Scientific Mapping

Abstract

Value at Risk is the market measure used by financial institutions and adopted by the Basel Committee to calculate and manage risk, making it a necessary measure for the financial sector. In this article, a bibliometric study of Value at Risk (VaR) is carried out and its calculation using simulation processes. For this purpose, a review was made of the research published over the last 20 years in the Scopus and Web of Science databases, compiling the most relevant documents for analysis. Subsequently, the justification of the topic is presented, and the social network is elaborated using the tree analogy, in which each of the most important documents is classified as root, stem, or leaf. Finally, the research perspectives of the topic are identified through a cocitations analysis. It is concluded that women have a high degree of participation in managerial positions, however, a significant difference of 3,492,556 pesos is noted in the salaries of the two sexes, where men are the ones who obtain the highest income.

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Author Biographies

Mauren Silene Pineda Guerrero, Casautos / Caja de Compensación Familiar de Caldas

She is a Finance Technologist from the University of Caldas, Financial Administrator from the Universidad de Caldas. Member of the research group in quantitative Finance attached to the Faculty of Administration of the Universidad Nacional de Colombia Manizales Headquarters

Alberto Antonio Agudelo Aguirre, Universidad Nacional de Colombia

He is a Professional in Business Administration from the Universidad Nacional de Colombia Manizales Headquarters. With a specialization in Administrative and Financial Engineering from the Universidad Nacional de Colombia Medellín Headquarters. Master (MsC) in Administration with an emphasis in Finance from the Universidad Nacional de Colombia Manizales Headquarters, and PhD in Finance from the Universidad del CEMA in Buenos Aires Argentina. His academic interests are focused on the analysis of investment in the capital market and the analysis and management of project risk, corporate risk and investment risk. Currently I work as associate professor in the Administration department of the Universidad Nacional de Colombia Manizales Headquarters, in the area of ​​finance

Ricardo Alfredo Rojas Medina, Universidad Nacional de Colombia

He is a Public Accountant graduated from the Universidad Externado de Colombia. Specialist in Socioeconomic Evaluation of Projects from the Universidad de Antioquia. Master in Operations Research and Statistics from the Universidad Tecnológica de Pereira. Coordinator of the GTA Quantitative Finance. Associate professor at the Universidad Nacional de Colombia, Manizales campus. Expert in the design and implementation of costs and their usefulness for analysis and decision making; teacher in different university levels guiding subjects of cost systems, administrative accounting, managerial accounting, financial accounting, financial simulation, statistics.

Pedro Luis Duque Hurtado, Universidad Católica Luis Amigó

He is a full-time research professor at the Universidad Católica Luis Amigó. Business Administrator, Master in Administration, PhD student in Administration from the Universidad Nacional de Colombia. Marketing as the main area of ​​interest.

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Published

2021-07-21

How to Cite

Pineda Guerrero, M. S., Agudelo Aguirre, A. A., Rojas Medina, R. A., & Duque Hurtado, P. L. (2021). Value at Risk and simulation: a systematic review. ECONÓMICAS CUC, 43(1), 57–82. https://doi.org/10.17981/econcuc.43.1.2022.Econ.3

Issue

Vol. 43 No. 1 (2022): Enero - Junio 2022

Section

Articles: Economy and Finance

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