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Nonparametric estimation of economic losses due to adverse natural phenomena : the case of the Mexican corn production portfolio

dc.contributorGonzález de Salceda Ruiz, Luis Manuel
dc.contributorLuis Manuel González de Salceda Ruiz
dc.creatorJuan Sampieri Espinoza
dc.creatorJUAN SAMPIERI ESPINOZAes
dc.date.accessioned2018-05-10T12:49:25Z
dc.date.available2018-05-10T12:49:25Z
dc.date.issued2015
dc.identifier.urihttp://hdl.handle.net/11285/629405
dc.descriptionTo measure the risk of an assets portfolio, exposed to catastrophic losses product of adverse natural phenomena, and estimate its maximum expected economic loss, it is necessary to have a wide range of scenarios, so the strong historical deviations in natural variables as extreme precipitation or the lack of it, very high or low temperatures are captured. These infrequent scenarios can be obtained through simulations based on historical data, but, in contrast with simulations made for portfolios with only financial instruments, it is not possible to assume neither statistical independence nor parametric distributions for the data. To assume no correlation and parametric distributions for the historical observations used to obtain the simulations, will result in an underestimation of the possible losses of the portfolio. --Abstract .
dc.languagespa
dc.publisherInstituto Tecnológico y de Estudios Superiores de Monterrey
dc.relationInvestigadores
dc.relationEstudiantes
dc.relation.isFormatOfversión publicada
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0*
dc.subjectCorn--Risk management--Statistical methods--Mexico
dc.subjectPortfolios management--Statistical methods--Mexico
dc.subjectMonte Carlo method
dc.subjectFinancial futures--Mexico
dc.subjectMaíz--Administración de riesgos--México
dc.subjectAdministración de portafolios--Métodos estadísticos--México
dc.subjectMétodo de Montecarlo
dc.subjectFuturos financieros--México
dc.subjectAdministración de riesgos--México
dc.subject.classification5 CIENCIAS SOCIALES
dc.titleNonparametric estimation of economic losses due to adverse natural phenomena : the case of the Mexican corn production portfolio
dc.typeTesis de doctorado
thesis.degree.levelDoctorado en Ciencias Financieras
thesis.degree.disciplineEscuela de Graduados en Administración y Dirección de Empresas.
refterms.dateFOA2018-05-10T12:49:25Z


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  • Ciencias Sociales 565
    Gobierno y Transformación Pública / Humanidades y Educación / Negocios / Arquitectura y Diseño / EGADE Business School

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info:eu-repo/semantics/openAccess
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