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Comparison of Methods for Estimating the Uncertainty of Value at Risk

Oscar Fernando
Luis Fernando
Carlos Andrés
Quicazán Moreno
Monday, 1 February 2016

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 dist


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