Resumo

ALBA SUAREZ, MIGUEL ANTONIO. Comparative analysis of the estimation of (value at risk) var in public market debt. rev. econ. Caribe [online]. 2019, n.24, pp.49-94. ISSN 2011-2106.

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 parametric and non-parametric methodologies frequently used by market agents to estimate the Value at Risk on the public debt market.

JEL: F43, O01, O15, Q05, Q51.

Palavras-chave : Arima; Backtesting; Garch; parametric; Value at Risk.

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )