This article describes the Value at Risk concept, popularized during the last ten
or fifteen years, presenting applications on stocks, bonds, interest and exchange
rate forward contracts, and swaps. We applied asymmetric GARCH methodologies
over Chilean stock indexes to enhance our risk evaluation performance.
Liquidity adjusted Value at Risk methodologies for individual and multiple asset
portfolios are discussed. To conclude, we applied this methodology to evaluate
the performance in three Chilean financial institutions.
Johnson, C. (2016). Value at risk: teoría y aplicaciones. Estudios De Economía, 28(2), pp. 217–247. Retrieved from https://sintesisdejurisprudencia.uchile.cl/index.php/EDE/article/view/40808
