departures from Guaussian assumptions , and if so, what are the implications for risk modeling that assume normal distribution … of Value at Risk ( VaR) to determine market risk with a Garch model based on conditional volatility. Backtesting using … presence of thick tails, the parametric VaR that relies on normal distribution produces erroneous assessment of risk; (3) GARCH …

is associated with a rollover risk. This rollover risk either keeps intermediaries from providing liquidity optimally, or …

anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more …To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well …