Valor en riesgo: evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
DOI:
https://doi.org/10.1016/S0123-5923(13)70018-4Keywords:
Valor en Riesgo, Backtesting, Aproximación Paramétrica, Aproximación no paramétrica, América Latina.Abstract
Este documento evalua el comportamiento de veinte diferentes metodos (parametrico, no parametricos y semi-parametricos) para estimar el VaR (Valor en Riesgo) de un portafolio representativo para 5 paises latinoamericanos (Argentina, Brasil, Chile, Colombia y Peru). Despues de encontrar la aproximacion que mejor captura el nivel de riesgo seleccionado para cada portafolio, se encontro que los modelos no-parametricos de simulacion historica y semi-parametricos corresponde a la mejor medida de riesgo para todos los países de la muestra.
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