TY  - THES 
TI  - Comparación empírica de modelos de valor en riesgo (VAR) para un portafolio compuesto por el peso colombiano, el real brasilero y el peso mexicano
PB  - Universidad Icesi
PY  - 2011
UR  - http://hdl.handle.net/10906/67002
AB  - The purpose of this paper is to evaluate different methods to estimate VaR for a portfolio of Colombian peso, Brazilian real and Mexican peso. The evaluation was
done thru the empirical comparison of the following methods: Historical Simulation,
Constant Volatility, EWMA, and three multivariate GARCH models: Diagonal
VECH, Constant Conditional Correlation and Diagonal BEKK. Backtesting proved
that the constant volatility model does not offer the coverage needed, but MGARCH
model, Diagonal BEKK, outperformed the other models.
KW  - Producción intelectual registrada - Universidad Icesi
KW  - RIESGO FINANCIERO
KW  - RIESGO (FINANZAS)
KW  - VAR (VALOR EN RIESGO)
KW  - TASA DE CAMBIO
KW  - MERCADO BURSATIL
KW  - MEDICIÓN DE RIESGO
KW  - GARCH
KW  - BACKTESTING
KW  - Economía
KW  - Economics
ER  -