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Ítem Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos(Universidad Icesi, 2006-08-01) Alonso Cifuentes, Julio CésarThis 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.
Ítem Valor en riesgo : evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos(Universidad Icesi, 2013-01-01) Alonso Cifuentes, Julio César; Chaves, Juan ManuelThis 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.