Comparison of methods for estimating the uncertainty of value at risk
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Borradores de Economía; No. 927
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2016-02-23
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2016-02-23
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.
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
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