Información del autor
Autor Pérez-Amaral, Teodosio |
Documentos disponibles escritos por este autor (40)
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Garín Muñoz, Teresa ; Pérez-Amaral, Teodosio | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-09En este trabajo presentamos un modelo de la demanda del tráfico telefónico que sale de España hacia un grupo de 24 países europeos. El modelo incorpora las características específicas del servicio telefónico de larga distancia y las relaciones s[...]![]()
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McAleer, Michael ; Jiménez-Martín, Juan-Ángel ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-09In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for fiv[...]![]()
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Casarin, Roberto ; Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2011-08It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-02The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to[...]![]()
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Chang, Chia-Lin ; Allen, David E. ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2013-06The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers[...]![]()
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Gijón Tascón, Covadonga ; Garín-Muñoz, Teresa ; Pérez-Amaral, Teodosio ; López Zorzano, Rafael Alberto | 2012-09The focus of this paper is to measure customer satisfaction among private individual consumers of mobile telecommunications in Spain and the factors associated with this. Two novelties found in this paper are a focus on individual consumers and [...]![]()
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Bujosa Brun, Marcos ; Álvarez González, Francisco ; Barge Gil, Andrés ; Cerdá, Emilio ; Dominguez Toribio, Manuel ; García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Jiménez Martín, Juan Ángel ; López Zorzano, Rafael Alberto ; Lugo Arocha, Haydee ; Mera Rivas, María Eugenia ; Moreta Santos, María Jesus ; Pérez-Amaral, Teodosio ; Robles Fernández, María Dolores ; Ruiz Andújar, Jesús ; Serrano García, Gregorio ; Sotoca López, Sonia ; Vázquez Furelos, Mercedes | 2015Los exámenes y pruebas de evaluación tienen un papel destacado dentro de los materiales docentes. Ello es así debido al doble papel que juegan: por una parte, son cruciales para evaluar el nivel de conocimientos adquiridos por los estudiantes; p[...]![]()
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The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alterna[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; Maasoumi, Esfandiar ; McAleer, Michael ; Pérez-Amaral, Teodosio | 2015-05The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that “a number of weaknesses have been identified[...]![]()
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This paper analyzes the effect of educational mismatch on wages, using a rich panel dataset of workers in the major euro area countries from 2006 to 2009, drawn from the European Union Statistics on Income and Living Conditions (Eurostat). We us[...]![]()
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Marin, E. ; Pérez-Amaral, Teodosio ; Rúa, A. ; Hernández, E. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2000The temporal evolution of pH values in precipitation over Europe during the period 1986-1997 is examined using panel data. The use of panel data techniques allows us to detennine the temporal evolution of groups of stations rather than analysing[...]![]()
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Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most pop[...]![]()
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Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez-Amaral, Teodosio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of[...]![]()
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Este trabajo estudia el comportamiento de los contrastes M y de la matriz de la información dinámica aplicadas a la especificación de la demanda de dinero para la economía norteamericana propuesta por Baba, Hendry y Starr. Se concluye que los co[...]![]()
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When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this pape[...]