%0 Journal Article 
%T Valor en riesgo : evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
%J ESTUDIOS GERENCIALES;Vol. 29 No. 126  Enero/Marzo 2013
%D 2013
%@ 01235923
%U http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1597
%X 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.
%K Producción intelectual registrada - Universidad Icesi
%K Economía
%K Valor
%K Riesgo
%K América Latina
%K VALUE-AT-RISK
%K BACK-TEST ING
%K Economía
%K Econometría
%K Economics
%K Econometrics models
%~ GOEDOC, SUB GOETTINGEN