TY  -  JOUR 
TI  - Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos
PB  - Universidad Icesi
PY  - 2006
AB  - 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.
KW  - Negocios y management
KW  - VAR (Valor en riesgo)
KW  - Metodologías
KW  - América Latina
KW  - Riesgo (Economía)
KW  - Simulación histórica
KW  - Valor (Economía)
KW  - Economics
KW  - Business
KW  - Economía
KW  - Econometría
KW  - Economics
KW  - Econometrics models
UR  - http://hdl.handle.net/10906/65251
ER  -