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