<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462021000200009</article-id>
<article-id pub-id-type="doi">10.21919/remef.v16i2.589</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM]]></article-title>
<article-title xml:lang="en"><![CDATA[Estimating Risk Market Using the VaR and CAPM Beta]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Trejo Becerril]]></surname>
<given-names><![CDATA[Bárbara Ruth]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Gallegos David]]></surname>
<given-names><![CDATA[Alberto]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Anáhuac  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<volume>16</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462021000200009&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462021000200009&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462021000200009&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El objetivo de este estudio es medir el riesgo de mercado de portafolios de acciones del mercado financiero mexicano en periodos de alta volatilidad mediante cuatro metodologías: 1) la Beta del CAPM (&#946;-CAPM), 2) el VaR-Simulación Histórica (VaR-SH), 3) VaR-Delta Normal (VaR-&#948;N) y 4) VaR-Simulación Montecarlo (VaR-SM). Estas métricas se seleccionaron por ser parsimoniosas. Los resultados muestran que las metodologías son consistentes en periodos de alta volatilidad. Se recomienda calcular la composición del portafolio de mercado y su VaR, para hacerlas comparables. La limitante principal, es que la &#946;-CAPM únicamente se puede calcular para portafolios de acciones, mientras que el cálculo del VaR con estas metodologías no contempla la ocurrencia de eventos extremos. Esto implica que los niveles de riesgo podrían subestimarse en periodos de alta volatilidad. La originalidad de este estudio reside en la comparación de estas metodologías mediante el cálculo de la composición del portafolio de mercado. Concluimos que el VaR-SH estima un mayor riesgo que la &#946;-CAPM después de experimentarse la alta volatilidad, si bien la &#946;-CAPM es consistente para las metodologías de VaR empleadas.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The aim of this paper is to measure the market risk of Mexican financial asset portfolios under high volatility periods with four methodologies: 1) the Beta of the Capital Asset Pricing Model (&#946;-CAPM), 2) the Value at Risk-Historic Simulation (VaR-SH), 3) the VaR-Normal Delta (VaR-&#948;N), and the VaR-Montecarlo Simulation (VaR-SM). These methodologies were elected by being parsimonious. Results show that these methodologies are consistent in high volatility periods. Calculating the market portfolio composition and its VaR, for comparability ends, it is an expected recommendation. The main disadvantage is that the &#946;-CAPM can only be estimated for asset portfolios, while the proposed methodologies of VaR do not consider the occurrence of extreme events. This imply that risk levels could be underestimated in high volatility periods. The contribution of this paper relies upon the comparison of the proposed methodologies through the estimation of the market portfolio. Though these methodologies are significatively consistent in high volatility periods, VaR-SH estimates higher risks than that calculated with &#946;-CAPM, before the high volatility period are evident, even though the estimated &#946;-CAPM risk is consistent otherwise.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Valor en Riesgo]]></kwd>
<kwd lng="es"><![CDATA[Simulación Histórica]]></kwd>
<kwd lng="es"><![CDATA[Simulación Montecarlo]]></kwd>
<kwd lng="es"><![CDATA[Modelo de Rendimiento de Activos de Capital (CAPM)]]></kwd>
<kwd lng="en"><![CDATA[Value at risk]]></kwd>
<kwd lng="en"><![CDATA[Historical Simulation]]></kwd>
<kwd lng="en"><![CDATA[Montecarlo Simulation]]></kwd>
<kwd lng="en"><![CDATA[Capital Asset Pricing Model (CAPM)]]></kwd>
</kwd-group>
</article-meta>
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