Comparison of methods for estimating the uncertainty of value at risk

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Borradores de Economía; No. 927
Date published
2016-02-23
Date of last update
2016-02-23
Author
Gamba-Santamaría, Santiago
Jaulín-Méndez, Oscar Fernando
Melo-Velandia, Luis Fernando
Quicazán-Moreno, Carlos Andrés
Document language
spa
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Abstract
Value at Risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities. There is a variety of methodologies proposed in the literature for the estimation of VaR. However, few of them get to say something about its dist
JEL Codes
C51 - Model Construction and EstimationG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; GoodwillC53 - Forecasting and Prediction Methods; Simulation MethodsC52 - Model Evaluation, Validation, and Selection
Keywords
Value at risk ; Confidence intervals ; Data tilting ; Subsample bootstrap ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6238
https://hdl.handle.net/20.500.12134/6238
https://doi.org/10.32468/be.927
https://ideas.repec.org/p/bdr/borrec/927.html
https://ideas.repec.org/p/col/000094/014263.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit