{"id":2104,"date":"2021-02-16T17:39:53","date_gmt":"2021-02-16T17:39:53","guid":{"rendered":"https:\/\/ricovictor.com\/?p=2104"},"modified":"2026-01-29T21:53:46","modified_gmt":"2026-01-29T21:53:46","slug":"cvar-valor-en-riesgo-condicional","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2021\/02\/16\/cvar-valor-en-riesgo-condicional\/","title":{"rendered":"CVaR( Valor en Riesgo Condicional)"},"content":{"rendered":"\t\t
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\u00a0<\/div>
El\u00a0CVAR( Valor en Riesgo Condicional)<\/b>\u00a0es una medida estad\u00edstica usada en finanzas\u200b para cuantificar el riesgo. Esta medida tiene como objetivo mitigar ciertos defectos que tiene el VAR(Valor en Riesgo)<\/a>. Y la pod\u00e9is usar tanto en estrategias de trading, como para analizar series de activos financieros, tambi\u00e9n se est\u00e1is creando carteras etc.<\/span><\/div>
\u00a0<\/div>
Su c\u00e1lculo es relativamente sencillo donde lo que haremos ser\u00e1 hacer un promedio de aquellas p\u00e9rdidas que superen al VaR\u200b , de manera que nuestra medici\u00f3n del riesgo ser\u00e1 m\u00e1s completa y coherente. En este v\u00eddeo hago una explicaci\u00f3n sobre el CVAR\u200b y vemos ejemplos de su c\u00e1lculo en R. M\u00e1s abajo tienes el c\u00f3digo usa para que puedas copiarlo y practicar.<\/span><\/div>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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C\u00d3DIGO EN R DEL VIDEO<\/strong><\/p>

# video cvar oro<\/strong><\/p>

####<\/strong><\/p>

library(quantmod)<\/strong><\/p>

#install.packages(\u00abfImport\u00bb)<\/strong>
library(\u00abfImport\u00bb)<\/strong><\/p>

#install.packages(\u00abtseries\u00bb)<\/strong>
library(tseries)<\/strong><\/p>

#install.packages(\u00abPerformanceAnalitycs\u00bb)<\/strong>
#library(PerformanceAnalitycs)<\/strong><\/p>

getSymbols(\u00abGC=F\u00bb,src=\u00bbyahoo\u00bb,from = \u00ab2015-01-01\u00bb)<\/strong><\/p>

#getSymbols(\u00abTSLA\u00bb,from=\u00bb2015-01-01″,to=\u00bb2021-02-15″,src=\u00bbyahoo\u00bb)<\/strong><\/p>

oro_pr <- na.omit(`GC=F`[,4]) # precio cierre<\/strong><\/p>

chartSeries(oro_pr,up.col=\u00bbblue\u00bb,theme=\u00bbwhite\u00bb) # Plot the Time Series of the Stock<\/strong><\/p>

retornos_oro<-na.omit(returns(oro_pr))<\/strong><\/p>

chartSeries(retornos_oro,up.col=\u00bbred\u00bb,theme=\u00bbwhite\u00bb) # Plot the Time Series of the Log-Returns<\/strong><\/p>

hist(retornos_oro)<\/strong><\/p>

obs <- length(retornos_oro)<\/strong><\/p>

##### Calculo del CVAR<\/strong><\/p>

#1 VAR<\/strong><\/p>

# CVAR<\/strong><\/p>

?quantile<\/strong><\/p>

# var ret oro 5<\/strong><\/p>

# Percentil 5 ____ o el 95 si le damos la vuelta<\/strong><\/p>

VaR_oro=quantile(retornos_oro,0.05,na.rm = T)<\/strong>
VaR_oro<\/strong><\/p>

#VaR_oro=quantile(ret_oro,0.95,na.rm = T)<\/strong>
#VaR_oro<\/strong><\/p>

which(retornos_oro<=VaR_oro)<\/strong><\/p>

retornos_oro[18]<\/strong>
retornos_oro[1428]<\/strong>
min(retornos_oro)<\/strong><\/p>

CVAR_oro=mean(retornos_oro[retornos_oro<=VaR_oro])<\/strong>
CVAR_oro<\/strong><\/p>

VaR_oro<\/strong><\/p>

chartSeries(retornos_oro,up.col=\u00bbblue\u00bb,theme=\u00bbwhite\u00bb)<\/strong>
abline(h=VaR_oro,col=\u00bbred\u00bb,lwd=1)<\/strong><\/p>

abline(h=VaR_oro,col=\u00bbred\u00bb,lwd=1)<\/strong>
abline(h=CVAR_oro,col=\u00bbred\u00bb,lwd=2)<\/strong><\/p>

###<\/strong><\/p>

ret_oro= – (retornos_oro)<\/strong><\/p>

chartSeries(ret_oro,up.col=\u00bbred\u00bb,theme=\u00bbwhite\u00bb) # Plot the Time Series of the Log-Returns<\/strong><\/p>

VaR_oro_95=quantile(ret_oro,0.95,na.rm = T)<\/strong>
VaR_oro_95<\/strong><\/p>

CVAR_oro_95=mean(ret_oro[ret_oro>=VaR_oro_95])<\/strong>
CVAR_oro_95<\/strong><\/p>

chartSeries(ret_oro,up.col=\u00bbblue\u00bb,theme=\u00bbwhite\u00bb)<\/strong>
abline(h=VaR_oro_95,col=\u00bbred\u00bb,lwd=1)<\/strong>
abline(h=CVAR_oro_95,col=\u00bbred\u00bb,lwd=2)<\/strong><\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

\u00a0El\u00a0CVAR( Valor en Riesgo Condicional)\u00a0es una medida estad\u00edstica usada en finanzas\u200b para cuantificar el riesgo. Esta medida tiene como objetivo mitigar ciertos defectos que tiene el VAR(Valor en Riesgo). Y la pod\u00e9is usar tanto en estrategias de trading, como para analizar series de activos financieros, tambi\u00e9n se est\u00e1is creando carteras etc.\u00a0Su c\u00e1lculo es relativamente sencillo …<\/p>\n

CVaR( Valor en Riesgo Condicional)<\/span> Leer m\u00e1s »<\/a><\/p>\n","protected":false},"author":19,"featured_media":2106,"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":[],"yoast_head":"\nCVaR( Valor en Riesgo Condicional) - 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\/2021\/02\/16\/cvar-valor-en-riesgo-condicional\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"CVaR( Valor en Riesgo Condicional) - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas\" \/>\n<meta property=\"og:description\" content=\"\u00a0El\u00a0CVAR( Valor en Riesgo Condicional)\u00a0es una medida estad\u00edstica usada en finanzas\u200b para cuantificar el riesgo. Esta medida tiene como objetivo mitigar ciertos defectos que tiene el VAR(Valor en Riesgo). 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