Econometric Modeling for the Management and Decomposition of Financial Risk

Abstract: This research presents a methodological analysis that will allow to actively manage the risk of financial assets, through an understandable study and mix of technical differences used by the financial literature. In this way, the research will allow the delivery of precise information on the risk-generating components of the assets studied. The methodology used corresponds to the wavelet decomposition method, combined with the VaR methodology, which as a whole proves to be an efficient way of controlling the financial risk of the investment portfolios used, thus allowing to identify the main risk generating components to which it is applied. investors and fund managers submit.

Keywords: Financial risk, risk management, econometric modeling

DOI: 10.54941/ahfe1001444

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