Santiago Carrillo

Cuando salga este libro habra pasado mas de un ano desde la publicacion del documento definitivo ... more Cuando salga este libro habra pasado mas de un ano desde la publicacion del documento definitivo del Comite de Basilea. Seria pretencioso y poco util intentar resumir aqui los contenidos de uno texto ampliamente expuesto, debatido e interpretado en los ultimos tiempos. En consecuencia, el objetivo de estas lineas es resumir algunos de los aspectos mas novedosos (y no siempre destacados en la literatura) y analizar algunas lagunas que impiden una convergencia mas plena entre capital regulatorio y capital economico.

Modelos Multifactoriales en Riesgo de Crédito

Revista De Economia Financiera, 2006

Relaciones entre matemáticas y finanzas

Encuentros Multidisciplinares, 2006

El uso de los modelos lognormales, anticipado por Roy y Samuelson. El principio de no arbitraje q... more El uso de los modelos lognormales, anticipado por Roy y Samuelson. El principio de no arbitraje que permite valorar un derivado a partir de la cartera de replicación. La valoración riesgo-neutro que permite referirse exclusivamente al tipo libre de riesgo y no tener en cuenta la subjetividad del agente interviniendo en el mercado. El marco probabilista que ha supuesto la irrupción del Cálculo Estocástico en las finanzas. El enfoque usando las Ecuaciones en Derivadas Parciales (EDP). 1 Para más información el lector podrá consultar el libro de J.

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$Research paper thumbnail of ¿Se puede mejorar la gestión de un fondo de inversión usando la teoría de fractales?$

¿Se puede mejorar la gestión de un fondo de inversión usando la teoría de fractales?

Analisis Financiero, 2007

Nuevos retos en la medición del riesgo de mercado

Perspectivas Del Sistema Financiero, 2001

Risk management in finance first Risklab International Conference

This publication offers a unique perspective on some of the key areas in risk management. It focu... more This publication offers a unique perspective on some of the key areas in risk management. It focuses on the credit risk variable in response to the importance of its management by financial institutions. However, the papers reproduced here also address such varied aspects as portfolio optimization, market risk, asset management, energy futures and weather derivatives.Risk Management in Finance is based on the proceedings of the First RiskLab International Conference, held in Madrid in October 2001. The event, hosted by RiskLab-Madrid, was cosponsored by Algorithmics Inc., BBVA, IBM and PricewaterhouseCoopers. Some contributions have been updated to take account of relevant developments subsequent to the event. RiskLab International is a worldwide network of university laboratories and research centers sponsored by Algorithmics Inc. As part of its collaborative activities, RiskLab organizes conferences that aim to bring together perspectives from the financial and academic worlds. Due to its coverage of state-of-the-art financial risk management trends, this work will be of interest to both practitioners and academics.

Processus de Markov associ� a une forme de Dirichlet non sym�trique

Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1975

The purpose of the present paper is the probabilistic interpretation of potential theory associat... more The purpose of the present paper is the probabilistic interpretation of potential theory associated with a Dirichlet form on a functional space. We generalise the works of M. Fukushima to unsymmetric forms using a new method based on the utilisation of quasi continuous representation of functions belonging to the Dirichlet space and a Ray Knight compactification.

A simple probabilistic neural model producing multimodal ISHs

Lecture Notes in Computer Science, 1995

Simple probabilistic neural models can be used to study the information processing occurring in t... more Simple probabilistic neural models can be used to study the information processing occurring in the brain. Suitable models have to reproduce complex Interspike Histograms (ISHs) observed experimentally, but have to be simple enough to allow theoretical analysis. The simple probabilistic integrate and fire model we present in this paper can be used to identify the origin of peaks appearing in

Stochastic Specificity in Neural Interaction

ICANN ’93, 1993

We present in this communication results from a dynamical model of two interacting stochastic neu... more We present in this communication results from a dynamical model of two interacting stochastic neurons, simple enough to provide the understanding of basic mechanisms by which the stochastic nature of units enhances information processing capabilities. The active role played by noise or randomness in stochastic integrating and firing units is analyzed using a Markovian Chain approach. We conclude that randomness allows for robust specifity in unit response.

Medición efectiva del riesgo operacional

Page 1. MEDICIÓN EFECTIVA DEL RIESGO OPERACIONAL Santiago Carrillo Menéndez (*) Alberto Suárez (*... more Page 1. MEDICIÓN EFECTIVA DEL RIESGO OPERACIONAL Santiago Carrillo Menéndez (*) Alberto Suárez (*) (* Santiago Carrillo Menéndez pertenece al Departamento de Matemáticas de la Facultad de Ciencias de la Universidad Autónoma de Madrid. ...

Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation

Statistics and Computing, 2013

A perturbative approach is used to derive approximations of arbitrary order to estimate high perc... more A perturbative approach is used to derive approximations of arbitrary order to estimate high percentiles of sums of positive independent random variables that exhibit heavy tails. Closed-form expressions for the successive approximations are obtained both when the number of terms in the sum is deterministic and when it is random. The zeroth order approximation is the percentile of the maximum term in the sum. Higher orders in the perturbative series involve the right-truncated moments of the individual random variables that appear in the sum. These censored moments are always finite. As a result, and in contrast to previous approximations proposed in the literature, the perturbative series has the same form regardless of whether these random variables have a finite mean or not. For high percentiles, and specially for heavier tails, the quality of the estimate improves as more terms are included in the series, up to a certain order. Beyond that order the convergence of the series deteriorates. Nevertheless, the approximations obtained by truncating the perturbative series at intermediate orders are remarkably accurate for a variety of distributions in a wide range of parameters.