TY  - GEN 
A1  - Gamba-Santamaria, Santiago
A1  - Jaulin-Mendez, Oscar Fernando
A1  - Melo-Velandia, Luis Fernando
A1  - Quicazan-Moreno, Carlos Andres
DA  - 2016/02/02
PY  - 2016
UR  - https://repositorio.banrep.gov.co/handle/20.500.12134/6238
AB  - 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...
LA  - spa
PB  - Banco de la Republica
T3  - Borradores de Economia
JF  - Borradores de Economia; No. 927
M3  - Open Access
T1  - Comparison of methods for estimating the uncertainty of value at risk
KW  - C51 - Model Construction and Estimation
KW  - G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
KW  - C53 - Forecasting and Prediction Methods; Simulation Methods
KW  - C52 - Model Evaluation, Validation, and Selection
KW  - Value at risk
KW  - Confidence intervals
KW  - Data tilting
KW  - Subsample bootstrap
KW  - Riesgo (Economia) -- Paises Grupo de los siete
KW  - Modelos VAR -- Paises Grupo de los siete
KW  - G32 - Politica de financiacion; riesgo financiero y gestion de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio
KW  - C51 - Construccion de modelos y estimacion
KW  - C52 - Evaluacion, contraste y seleccion de modelos
KW  - C53 - Metodos de pronostico y prediccion; metodos de simulacion
DO  - https://doi.org/10.32468/be.927
L1  - https://ideas.repec.org/p/bdr/borrec/927.html
ER  -