Análisis comparativo de las metodologías de estimación del valor en riesgo del mercado de deuda pública colombiano período 2014-2016
DOI:
https://doi.org/10.14482/ecoca.24.336.861Palavras-chave:
Arima, Garch, paramétrico, retroceso, valor en riesgoResumo
El comportamiento del mercado exige hoy más que nunca el abordar el estudio del Valor en Riesgo como instrumento, que pueda ayudar a mitigar las pérdidas que se puedan presentar ante cambios generados por fundamentales internos y externos. Este trabajo está enfocado en hacer una ilustración de las metodologías paramétricas y no paramétricas más frecuentemente utilizadas por los agentes del mercado para encontrar el valor en Riesgo aplicado al mercado de deuda pública.
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