Número:
927
Publicado:
Clasificación JEL:
C51, C52, C53, G32
Palabras clave:
value at risk, Confidence Intervals, data tilting, Subsample Bootstrap

Lo más reciente
Jaime Alfredo Bonet-Moron, Yuri Carolina Reina-Aranza, Adriana Ortega, Ana Rosa Polanco
Juan Sebastián Mariño-Montaña, Daniela Rodriguez-Novoa, Camilo Eduardo Sánchez-Quinto
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