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In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.

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Licentiate in Economics at University of Costa Rica (2001), Master in Business Administration at Incae Business School (2004), and Master in Financial Management at Rotterdam School of Management (2008). Over ten years in Central America´s financial sector as senior credit analyst, fund manager and corporate finance executive.

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