%0 Journal Article 
%T Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos
%D 2006
%U http://hdl.handle.net/10906/65251
%X This paper evaluates the performance of different parametric and semiparametric
methods, as well as the historical simulation method, to estimate the nexttrading-
day VaR of 7 representative portfolios for 7 different Latin American countries. It is found that there is not a single model that outperforms the others. For a 95% confident
level, parametric models with EWMA and TGARCH specification to update the volatility
outperforms the others. On the other hand, those models over-estimate the “true” VaR for a 99% confidence level.
%K Negocios y management
%K VAR (Valor en riesgo)
%K Metodologías
%K América Latina
%K Riesgo (Economía)
%K Simulación histórica
%K Valor (Economía)
%K Economics
%K Business
%K Economía
%K Econometría
%K Economics
%K Econometrics models
%~ GOEDOC, SUB GOETTINGEN