Resumo

ALONSO, Julio César  e  CHAVES, Juan Manuel. Value-at-Risk: evaluation of the behavior of different methodologies for 5 Latin American countries. estud.gerenc. [online]. 2013, vol.29, n.126, pp.37-48. ISSN 0123-5923.

This paper evaluates the performance of 20 different methods (parametric, and semi-parametric, and non-parametric), as well as the historical simulation method, to estimate the next- trading- day value- at risk (VaR) of a representative portfolio for 5 different Latin American countries (Argentina, Brasil, Colombia and Peru). We found that the non- parametric (i.e. historic simulation), and the semi- parametric methods were the best way to estimate the risk among the twenty different methods evaluated for all the countries in the sample.

Palavras-chave : Value-at-Risk; Back-testing; Parametric Approach; Non-parametric Approach; Latin America.

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