Comparison of methods for estimating the uncertainty of value at risk

Gamba-Santamaría, Santiago; Jaulín-Méndez, Oscar Fernando; Melo-Velandia, Luis Fernando; Quicazán-Moreno, Carlos Andrés

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

2016-02-23

Authors

Gamba-Santamaría, Santiago
Jaulín-Méndez, Oscar Fernando
Melo-Velandia, Luis Fernando
Quicazán-Moreno, Carlos Andrés

Document language

spa

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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.

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