TY  - JOUR 
TI  - Valor en riesgo : evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
JO  - ESTUDIOS GERENCIALES;Vol. 29 No. 126  Enero/Marzo 2013
PB  - Universidad Icesi
PY  - 2013
issn 01235923
AB  - This paper evaluates the performance of 20 different methods (parametric, and semi-parametric, and nonparametric),
as well as the historical simulation method, to estimate the next-trading-day value-at risk (VaR)
of a representative portfolio for 5 different Latin American countries (Argentina, Brasil, Colombia and Peru).
We found that the non-parametric (i.e. historic simulation), and the semi-parametric methods were the best
way to estimate the risk among the twenty different methods evaluated for all the countries in the sample.
KW  - Producción intelectual registrada - Universidad Icesi
KW  - Economía
KW  - Valor
KW  - Riesgo
KW  - América Latina
KW  - VALUE-AT-RISK
KW  - BACK-TEST ING
KW  - Economía
KW  - Econometría
KW  - Economics
KW  - Econometrics models
UR  - http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1597
ER  -