so each of them
has a unique technical implementation, having three common elements: the maximum loss, a given probability and
time horizon.
Over time, Value at Risk became institutionalized, due to fact that Basel Committee imposed to all banks to use
this tool for performing regulatory capital calculations.
This paper is organized as follows: section 2 reviews the literature on Value at Risk estimation, section 3describes
the methodology and data used and through section 4 we present our results. Finally, we emphasise the main
conclusions of this paper.
2.