Historical VaR: a methodological approach for measuring expected losses in pesos in the Colombian indexed inflation mortgage market. The objective of this proposal is to provide useful information to the clients of the Colombian mortgage market from the perspective of financial risk. This is done for the purpose of giving the client a complete understanding of the implied financial risks in inflation adjusted mortgages. Our proposal suggests that it is possible to measure and quantify the risk incurred by the users of the Colombian mortgage market based on historical VaR.
Fallón, E. C., & Sarmiento Sabogal, J. (2010). El Var historico: una propuesta metodologica parra la medicion de perdidas esperadas en pesos de deudores hipotecarios con creditos en Unidades de Valor Real (UVR). Estudios gerenciales, 26(116), 101-114. https://doi.org/10.1016/S0123-5923(10)70125-X