Un Análisis de la Volatilidad del Bono Soberano Chileno

  • Christian A. Johnson Banco Central de Chile


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.

Author Biography

Christian A. Johnson, Banco Central de Chile
División de Estudios. Banco Central de Chile
How to Cite
Johnson, C. A. (1). Un Análisis de la Volatilidad del Bono Soberano Chileno. Economic Analysis Review, 16(1), 83-97. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/3