Value-at-Risk: evaluation of the behavior of different methodologies for 5 Latin American countries

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. (C) 2013 Universidad ICESI. Published by Elsevier Espana. All rights reserved.