Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos

Christian Johnson ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: 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.

Date: 2000-07
New Economics Papers: this item is included in nep-fmk and nep-pke
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:76

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