Comparative analysis of the estimation of (value at risk) var in public market debt

Authors

  • Miguel Antonio Alba Suárez Universidad Santo Tomás

DOI:

https://doi.org/10.14482/ecoca.24.336.861

Keywords:

Arima, Backtesting, Garch, parametric, Value at Risk

Abstract

Markets behavior requires today more than previously the study of Value at Risk as a tool that can help to mitigate the presented looses generated whether by intern or extern subjets. This work is focused on making an illustration of para- metric and non-parametric methodologies frequently used by market agents to estimate the Value at Risk on the public debt market.

Author Biography

Miguel Antonio Alba Suárez, Universidad Santo Tomás

Doctorando en Administración de empresas, Magister en Ciencias Económicas, Economista, Docente de la Facultad de Negocios Internacionales de la Universidad Santo Tomás-Bogotá. Coordinador del Laboratorio económico-financiero de la USTA. Areas de interés: Mercado de Capitales, Finanzas Internacionales, Finanzas Corporativas, Elaboración y Evauación de Proyectos de Inversión.

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Published

2020-02-04

Issue

N°. 24: JUL-DEC 2019

Section

Science article

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