Comparison of Methods for Estimating the Uncertainty of Value at Risk

Number: 
927
Published: 
Classification JEL: 
C51, C52, C53, G32
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

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