In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

This paper outlines some of the issues that affect small and medium sized enterprises (SMEs) in three areas: regulation, procurement, and dispute resolution. The work presented herein is part of the Bank's most recent efforts to develop new approaches and instruments to strengthen its role as a...

This paper outlines some of the issues that affect small and medium sized enterprises (SMEs) in three areas: regulation, procurement, and dispute resolution. The work presented herein is part of the Bank's most recent efforts to develop new approaches and instruments to strengthen its role as a...

This Strategy (GN-1885-corr) aims to support the competitiveness of Small- and Medium-size Enterprises (SMEs) so that they may contribute to long-term growth and employment. Most countries in the region are undergoing reforms that are opening their economies to greater international competition....

The objective of this Health Strategy (GN-2321) is to help Latin American and the Caribbean countries improve the health of their populations, attaining national health objectives and tailoring Millennium Development Goals to conditions in each country. The priorities areas of Bank Actions...

This Financial Market Development Strategy (GN-1948-3) has been prepared to assist IDB staff in the process of supporting financial market development, as financial markets provide the appropriate environment for capital mobilization to profitable investment opportunities. The IDB must strive...

This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the...