Borradores de Economia
Número:
927
Publicado:
Clasificación JEL:
C51, C52, C53, G32
Palabras clave:
value at risk, Confidence Intervals, data tilting, Subsample Bootstrap
Lo más reciente
Carola Müller, Matias Ossandon Busch, Miguel Sarmiento, Freddy A. Pinzón-Puerto
Francisco Javier Lasso-Valderrama, Mario Andrés Ramos-Veloza
Diego Fernando Cuesta-Mora, Gómez-Molina Andrés Camilo
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