Comparison of Methods for Estimating the Uncertainty of Value at Risk

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

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