{"id":132,"date":"2020-04-19T18:50:14","date_gmt":"2020-04-19T18:50:14","guid":{"rendered":"http:\/\/ricovictor.com\/?p=132"},"modified":"2026-01-29T22:20:47","modified_gmt":"2026-01-29T22:20:47","slug":"valor-en-riesgo-var-que-es-y-como-calcularlo","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2020\/04\/19\/valor-en-riesgo-var-que-es-y-como-calcularlo\/","title":{"rendered":"Valor en Riesgo (VAR). \u00bfQu\u00e9 es y c\u00f3mo calcularlo?"},"content":{"rendered":"\n<p>\u270d\ud83c\udffbSaber qu\u00e9 es y c\u00f3mo calcular el Valor en Riesgo(VAR) es de mucha utilidad para poder medir el riesgo de una determinada <a href=\"https:\/\/www.youtube.com\/results?search_query=%23inversi%C3%B3n\">#inversi\u00f3n<\/a>, especialmente dentro de los mercados financieros. <\/p>\n\n\n\n<p>\ud83c\udf1dEl <strong>Valor en Riesgo(VAR) <\/strong>es una t\u00e9cnica estad\u00edstica que nos permite computar el riesgo financiero esperado de una inversi\u00f3n. Nos indica la probabililidad de sufrir una determinada p\u00e9rdida durante un periodo determinado. <\/p>\n\n\n\n<p>No debemos confundir esta medida con los modelos econom\u00e9tricos <strong><a href=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/06\/modelos-var-vectores-autoregresivos-en-r\/\">VAR<\/a>(Vectores Autoregresivos)<\/strong> que se usan para la modelizaci\u00f3n y predicci\u00f3n multivariante. Aqu\u00ed ten\u00e9is un art\u00edculo y v\u00eddeo de mi blog hablando de ellos \ud83d\udc47\ud83d\udc47<\/p>\n\n\n\n<figure class=\"wp-block-embed-wordpress wp-block-embed is-type-wp-embed is-provider-finanzas-cuantitativas-en-espanol\"><div class=\"wp-block-embed__wrapper\">\n<blockquote class=\"wp-embedded-content\" data-secret=\"82BDgyLPRz\"><a href=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/06\/modelos-var-vectores-autoregresivos-en-r\/\">Modelos VAR (Vectores Autoregresivos) en R.<\/a><\/blockquote><iframe class=\"wp-embedded-content\" sandbox=\"allow-scripts\" security=\"restricted\" style=\"position: absolute; clip: rect(1px, 1px, 1px, 1px);\" title=\"\u00abModelos VAR (Vectores Autoregresivos) en R.\u00bb \u2014 Finanzas Cuantitativas en Espa\u00f1ol\" src=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/06\/modelos-var-vectores-autoregresivos-en-r\/embed\/#?secret=spRQYY0c2T#?secret=82BDgyLPRz\" data-secret=\"82BDgyLPRz\" width=\"500\" height=\"282\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\"><\/iframe>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p>\ud83d\udc46 Es muy utilizada tanto por instituciones financieras,como fondos de inversi\u00f3n, adem\u00e1s del  an\u00e1lisis de riesgos empresarial. Por otro lado se usa tambi\u00e9n para crear carteras de inversi\u00f3n y estrategias de <strong>trading cuantitativo<\/strong>, <\/p>\n\n\n\n<p>Para realizar su c\u00e1lculo usaremos los percentiles de los retornos de las series que usemos,es por ello que si vamos determinar el VAR de series de precios antes deberemos transformar esas series en diferencias o mejor en retornos logar\u00edtmicos.<\/p>\n\n\n\n<figure class=\"wp-block-gallery columns-1 is-cropped wp-block-gallery-1 is-layout-flex wp-block-gallery-is-layout-flex\"><ul class=\"blocks-gallery-grid\"><li class=\"blocks-gallery-item\"><figure><img loading=\"lazy\" decoding=\"async\" width=\"725\" height=\"355\" src=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/var-precio.png\" alt=\"\" data-id=\"133\" data-full-url=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/var-precio.png\" data-link=\"https:\/\/ricovictor.com\/?attachment_id=133\" class=\"wp-image-133\" srcset=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/var-precio.png 725w, https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/var-precio-300x147.png 300w\" sizes=\"(max-width: 725px) 100vw, 725px\" \/><\/figure><\/li><\/ul><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"733\" height=\"368\" src=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/retornosdax.png\" alt=\"\" class=\"wp-image-134\" srcset=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/retornosdax.png 733w, https:\/\/ricovictor.com\/wp-content\/uploads\/2020\/04\/retornosdax-300x151.png 300w\" sizes=\"(max-width: 733px) 100vw, 733px\" \/><\/figure>\n\n\n\n<p>\ud83c\udfa5 Dejo aqu\u00ed un v\u00eddeo hablando un poco m\u00e1s sobre esta interesante m\u00e9trica con un ejemplo  sobre el DAX alem\u00e1n. Abajo dejar\u00e9 tambi\u00e9n el c\u00f3digo usado \ud83d\ude09\ud83d\ude09<\/p>\n\n\n\n<p><\/p>\n\n\n\n<figure class=\"wp-block-embed-youtube wp-block-embed is-type-video is-provider-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<div class=\"ast-oembed-container \" style=\"height: 100%;\"><iframe loading=\"lazy\" title=\"Valor en Riesgo (VAR). \u00bfQu\u00e9 es y c\u00f3mo calcularlo?\" width=\"500\" height=\"281\" src=\"https:\/\/www.youtube.com\/embed\/fcjrilNFkdE?start=177&#038;feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" allowfullscreen><\/iframe><\/div>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>CODIGO EN R DEL V\u00cdDEO<\/strong><\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>#### CODIGO VALOR EN RIESGO #######\n\n#install.packages(\"quantmod\")\nlibrary(quantmod)\n#install.packages(\"tseries\")\nlibrary(tseries)\n#install.packages(\"fImport\")\nlibrary(fImport)\n#install.packages(\"fPortfolio\")\nlibrary(fPortfolio)\n#install.packages(\"gtools)\nlibrary(gtools)\n\n\n# Calcular el Var sobre Indice Dax\n\ngetSymbols(\"^GDAXI\",quote=\"Close\",from = \"2017-02-09\",to=\"2018-02-09\") # datos diarios\nDAX= GDAXI&#91;,4]\n\nplot(DAX,type=\"l\",main= \"Cotizaci\u00f3n DAX\")\n\n## 1. Sacamos los retornos del activo\n\nrDAX&lt;- na.omit(returns(DAX))\n\nplot(rDAX,type=\"l\",main=\"Retornos DAX\",col=\"red\")\n\n# 2 Mirmaos histograma de frecuencias\n\nhist(rDAX)\n\n#3 Calculamos el Valor en Riesgo\n\np &lt;- c(0.1, 0.5, 1, 2, 5, 10, 50)\/100\nquantile(rDAX,p)\n\n\n## Var al 5% \n\np&lt;- (5\/100)\nquantile (rDAX,p)\n\n## VAR al 1%\n\np&lt;- (1\/100)\nquantile(rDAX,p)\n\n\n## capital 100000 euros\n\nVAR&lt;- 100000 * -0.0119\nVAR\n\n\n#*** Pode\u00eds cambiar las fechas y mirar como va variando \n### el valor de los VAR, as\u00ed como var\u00eda seg\u00fan utilices\n### el 5 o 1 por ciento de intervalo de confianza\n\n\n<\/code><\/pre>\n","protected":false},"excerpt":{"rendered":"<p>\u270d\ud83c\udffbSaber qu\u00e9 es y c\u00f3mo calcular el Valor en Riesgo(VAR) es de mucha utilidad para poder medir el riesgo de una determinada #inversi\u00f3n, especialmente dentro de los mercados financieros. \ud83c\udf1dEl Valor en Riesgo(VAR) es una t\u00e9cnica estad\u00edstica que nos permite computar el riesgo financiero esperado de una inversi\u00f3n. Nos indica la probabililidad de sufrir una &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/19\/valor-en-riesgo-var-que-es-y-como-calcularlo\/\"> <span class=\"screen-reader-text\">Valor en Riesgo (VAR). \u00bfQu\u00e9 es y c\u00f3mo calcularlo?<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":19,"featured_media":137,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[24],"tags":[67,66],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.6 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Valor en Riesgo (VAR). \u00bfQu\u00e9 es y c\u00f3mo calcularlo? - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas<\/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:\/\/ricovictor.com\/index.php\/2020\/04\/19\/valor-en-riesgo-var-que-es-y-como-calcularlo\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Valor en Riesgo (VAR). \u00bfQu\u00e9 es y c\u00f3mo calcularlo? - V\u00edctor A. 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