Juan Manuel Chaves

Juan Manuel Chaves

Cali, Valle del Cauca, Colombia
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Soy Economista y Negociador Internacional con maestrías en Finanzas, Banca Internacional…

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Publicaciones

  • Using the day-of-the-week effect to improve the value at risk estimation for 5 Latin American countries

    Review of Business Research

    This document evaluates the performance of 36 different approaches for the estimation of the Value at Risk (VaR), parametric and non-parametric, of a representative portfolio for 5 Latin American countries (Argentina, Brazil, Chile, Colombia, and Peru) with and without the day of the week effect (DOW). After finding the approach that better captures the risk set out for each portfolio we found that the inclusion of the day-of-the-week affect do not improve the risk metrics in Brazil and…

    This document evaluates the performance of 36 different approaches for the estimation of the Value at Risk (VaR), parametric and non-parametric, of a representative portfolio for 5 Latin American countries (Argentina, Brazil, Chile, Colombia, and Peru) with and without the day of the week effect (DOW). After finding the approach that better captures the risk set out for each portfolio we found that the inclusion of the day-of-the-week affect do not improve the risk metrics in Brazil and Argentina; but it does contribute in the case of Colombia, Chile and Peru.

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  • Valor en Riesgo: Evaluación del Desempeño de Diferentes Metodologías para 5 Países Latinoamericanos

    Journal of Management and Economics for Iberoamerica (Estudios Gerenciales)

    This paper evaluates the performance of 20 different parametric and semi-parametric approaches, as well as the historical simulation method, to estimate the next-trading-day VaR of one representative portfolio for 5 different Latin American countries. We found that the non-parametric (i.e. historic simulation) and the semi-parametric approaches represent the best way to estimate the risk among the twenty different approaches that were evaluated for all the countries in the sample.

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Cursos

  • Diploma in Project Management

    Universidad Icesi

  • Global Financial Strategy

    Universidad ESAN, Perú

  • Valoración de Empresas, Adquisiciones y Funciones

    Universidad ESAN, Perú

Reconocimientos y premios

  • MIBF Programme Scholarship

    Lingnan University

    Awarded with the Master in International Banking and Finance (MIBF) Scholarship

  • Beca Joven Investigador - Programa de la Maestría en Finanzas

    Universidad Icesi

  • Cuadro de Honor, Semestres IV-X

    Icesi University

Idiomas

  • Español

    Competencia bilingüe o nativa

  • Inglés

    Competencia profesional completa

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