valor en riesgo: evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
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ID: 165533
2013
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Abstract
Este documento evalúa el comportamiento de veinte diferentes métodos (paramétrico, no paramétricos y semi-paramétricos) para estimar el VaR (Valor en Riesgo) de un portafolio representativo para 5 países latinoamericanos (Argentina, Brasil, Chile, Colombia y Perú). Después de encontrar la aproximación que mejor captura el nivel de riesgo seleccionado para cada portafolio, se encontró que los modelos no-paramétricos de simulación histórica y semi-paramétricos corresponde a la mejor medida de riesgo para todos los países de la muestra.
| Reference Key |
alonso2013estudiosvalor
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|---|---|
| Authors | ;Julio César Alonso;Juan Manuel Chaves |
| Journal | Frontiers in human neuroscience |
| Year | 2013 |
| DOI |
10.1016/S0123-5923(13)70018-4
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| URL | |
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