dc.creator	Gamba-Santamaría, Santiago
dc.creator	Jaulín-Méndez, Oscar Fernando
dc.creator	Melo-Velandia, Luis Fernando
dc.creator	Quicazán-Moreno, Carlos Andrés
dc.date.created	2016-02-23
dc.date.issued	2016-02-23
dc.identifier.uri	https://repositorio.banrep.gov.co/handle/20.500.12134/6238
dc.description.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
dc.format.mimetype	PDF
dc.language.iso	spa
dc.publisher	Banco de la República
dc.relation.ispartof	Documentos de Trabajo
dc.relation.ispartofseries	Borradores de Economía
dc.relation.isversionof	Borradores de Economía; No. 927
dc.rights.accessRights	Open Access
dc.rights.uri	https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.title	Comparison of methods for estimating the uncertainty of value at risk
dc.type	Working Paper
dc.subject.jel	C51 - Model Construction and Estimation
dc.subject.jel	G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
dc.subject.jel	C53 - Forecasting and Prediction Methods; Simulation Methods
dc.subject.jel	C52 - Model Evaluation, Validation, and Selection
dc.subject.keyword	Value at risk
dc.subject.keyword	Confidence intervals
dc.subject.keyword	Data tilting
dc.subject.keyword	Subsample bootstrap
dc.subject.lemb	Riesgo (Economía) -- Países Grupo de los siete
dc.subject.lemb	Modelos VAR -- Países Grupo de los siete
dc.type.spa	Documentos de trabajo
dc.rights.spa	Acceso abierto
dc.rights.cc	Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspa	G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
dc.subject.jelspa	C51 - Construcción de modelos y estimación
dc.subject.jelspa	C52 - Evaluación, contraste y selección de modelos
dc.subject.jelspa	C53 - Métodos de pronóstico y predicción; métodos de simulación
dc.type.hasversion	Published Version
dc.coverage.sucursal	Bogotá
dc.relation.doi	https://doi.org/10.32468/be.927
dc.rights.disclaimer	Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repec	https://ideas.repec.org/p/bdr/borrec/927.html
dc.relation.dotec	https://ideas.repec.org/p/col/000094/014263.html
dc.identifier.handle	https://hdl.handle.net/20.500.12134/6238
dc.creator.firma	Luis Fernando Melo-Velandia
dc.source.handleRepec	RePEc:bdr:borrec:927
dc.source.handleRepec	RePEc:col:000094:014263

Comparison of methods for estimating the uncertainty of value at risk

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