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  • 标题:Un Análisis de la Volatilidad del Bono Soberano Chileno
  • 本地全文:下载
  • 作者:Christian A. Johnson
  • 期刊名称:Revista de Análisis Económico (RAE)
  • 印刷版ISSN:0716-5927
  • 电子版ISSN:0718-8870
  • 出版年度:2001
  • 卷号:16
  • 期号:1
  • 页码:83-97
  • 出版社:ILADES & Universidad Alberto Hurtado
  • 摘要: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.
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