SAMPLE SIZE, SKEWNESS AND LEVERAGE EFFECTS IN VALUE AT RISK AND EXPECTED SHORTFALL ESTIMATION / EFEC

Cuadernos de Investigación SANFI, 26 - The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the... | Paginas: 158 | Medidas: 17 x 24