2020
DOI: 10.1590/1808-057x201909160 View full text |Buy / Rent full text
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Abstract: This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries. Since VaR inception, several approaches were developed to improve the loss estimation accuracy. However, there is hardly a universal consensus on which approach is the most appropriate, since VaR depends on statistical properties of the target asset and the market in which it is traded. It is relevant to compare the results obtain… Show more

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