Since 2014
Un Análisis de la Volatilidad del Bono Soberano Chileno
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Un Análisis de la Volatilidad del Bono Soberano Chileno
Un Análisis de la Volatilidad del Bono Soberano Chileno |
|
| Creator |
Johnson, Christian A.
|
|
| Description |
International capital market integration together with increasing international volatility, requires an accurate evaluation of the potential losses that portfolio managers may face as a result of international turbulence. Assets with high liquidity standards can be evaluated by the traditional Value at Risk approach (VaR), however, this statistic underestimates the true value of the potential losses when the instrument is not liquid. This paper applies the methodology of liquidity adjusted VaR to the Chilean sovereign bond by incorporating bid-ask spread fluctuations when evaluating a portfolio risk.
International capital market integration together with increasing international volatility, requires an accurate evaluation of the potential losses that portfolio managers may face as a result of international turbulence. Assets with high liquidity standards can be evaluated by the traditional Value at Risk approach (VaR), however, this statistic underestimates the true value of the potential losses when the instrument is not liquid. This paper applies the methodology of liquidity adjusted VaR to the Chilean sovereign bond by incorporating bid-ask spread fluctuations when evaluating a portfolio risk. |
|
| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
|
|
| Contributor |
—
— |
|
| Date |
2010-01-27
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/3
|
|
| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 16, No 1 (2001); 83-97
Revista de Análisis Económico – Economic Analysis Review; Vol 16, No 1 (2001); 83-97 0718-8870 0716-5927 |
|
| Language |
spa
|
|
| Relation |
http://www.rae-ear.org/index.php/rae/article/view/3/5
|
|