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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