Comparison of methods for estimating the uncertainty of value at risk

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dc.coverage.sucursalBogotáspa
dc.creatorGamba-Santamaría, Santiagospa
dc.creatorJaulín-Méndez, Oscar Fernandospa
dc.creatorMelo-Velandia, Luis Fernandospa
dc.creatorQuicazán-Moreno, Carlos Andrésspa
dc.creator.firmaLuis Fernando Melo-Velandia spa
dc.date.accessioned2016-02-23T08:30:10Zeng
dc.date.available2016-02-23T08:30:10Zspa
dc.date.created2016-02-23spa
dc.date.issued2016-02-23eng
dc.description.abstractValue 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 disteng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6238spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6238spa
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.927spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/014263.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 927spa
dc.relation.numberBorrador 927spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/927.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:927spa
dc.subject.jelC51 - Model Construction and Estimationeng
dc.subject.jelG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwilleng
dc.subject.jelC53 - Forecasting and Prediction Methods; Simulation Methodseng
dc.subject.jelC52 - Model Evaluation, Validation, and Selectioneng
dc.subject.jelspaG32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comerciospa
dc.subject.jelspaC51 - Construcción de modelos y estimaciónspa
dc.subject.jelspaC52 - Evaluación, contraste y selección de modelosspa
dc.subject.jelspaC53 - Métodos de pronóstico y predicción; métodos de simulaciónspa
dc.subject.keywordValue at riskeng
dc.subject.keywordConfidence intervalseng
dc.subject.keywordData tiltingeng
dc.subject.keywordSubsample bootstrapeng
dc.subject.lembRiesgo (Economía) -- Países Grupo de los sietespa
dc.subject.lembModelos VAR -- Países Grupo de los sietespa
dc.titleComparison of methods for estimating the uncertainty of value at riskeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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