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Valor en riesgo: evaluación del desempeno de diferentes metodologías para 5 países latinoamericanos


  • Julio César Alonso
  • Juan Manuel Chaves


Este documento evalúa el comportamiento de veinte diferentes métodos (paramétrico, no paramétricos y semi-paramétricos) para estimar el VaR (Valor en Riesgo) de un portafolio representativo para 5 países latinoamericanos (Argentina, Brasil, Chile, Colombia y Perú). Después de encontrar la aproximación que mejor captura el nivel de riesgo seleccionado para cada portafolio, se encontró que los modelos no-paramétricos de simulación histórica y semi-paramétricos corresponde a la mejor medida de riesgo para todos los países de la muestra.

Suggested Citation

  • Julio César Alonso & Juan Manuel Chaves, 2013. "Valor en riesgo: evaluación del desempeno de diferentes metodologías para 5 países latinoamericanos," Estudios Gerenciales, Universidad Icesi, March.
  • Handle: RePEc:col:000129:011368

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    Valor en riesgoBacktestingAproximación paramétricaAproximación no paramétricaAmérica Latina;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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