IDEAS home Printed from https://ideas.repec.org/p/col/000130/003744.html
   My bibliography  Save this paper

Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos

Author

Listed:
  • Julio César Alonso
  • Mauricio Alejandro Arcos

Abstract

Este documento evalúa el comportamiento de diferentes métodos (paramétrico, no paramétricos y semi-paramétricos) para estimar el VaR (valor en riesgo) de un portafolio representativo para 7 países latinoamericanos. El cálculo del VaR implica la estimación del i-ésimo percentil de la distribución del valor futuro del valor de un portafolio. Los resultados no muestran la existencia de un método que se comporte mejor que los demás. Con un nivel de confianza del 95%, los modelos paramétricos que emplean el EWMA y el TGARCH, se desempeñan bien por lo general, sin embargo, modelos tienen un comportamiento pobre cuando el nivel de confianza es del 99%.

Suggested Citation

  • Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos," Borradores de Economía y Finanzas 003744, Universidad Icesi.
  • Handle: RePEc:col:000130:003744
    as

    Download full text from publisher

    File URL: http://www.icesi.edu.co/dptoeni/publicaciones/docs/BORRAECO/Borrador_de_economia8-Valor_en_Riesgo.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Valor en Riesgo; GARCH; TGARCH; EWMA; Simulación Histórica; Backtesting; Latino América; Aproximación Paramétrica; Filtrado Histórico;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000130:003744. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Coordinador ICESI (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.