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Divulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario espanol

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  • Pablo Farías

Abstract

La gestión del riesgo ha asumido una enorme importancia en las instituciones financieras. Los bancos divulgan su exposición a los riesgos del mercado a través del Valor en Riesgo (Value at risk, VaR). Este trabajo evalúa la divulgación de esta medida de gestión del riesgo en el sector bancario espanol previo a la crisis espanola iniciada en el ano 2008. Se efectuó un análisis de contenido de los informes anuales de los bancos en Espana. Se analizaron doce ítems en cuanto a la calidad de la información relacionada al VaR. Este estudio muestra que la divulgación efectuada previa a la crisis fue deficiente en términos de calidad y comparabilidad. También fue posible observar que la calidad de la información entregada acerca del VaR estuvo asociada positivamente al tamano del banco. El caso del sector bancario espanol previo a la crisis destaca la importancia de mejorar la supervisión financiera y las prácticas de gestión de riesgos.

Suggested Citation

  • Pablo Farías, 2014. "Divulgación del valor en riesgo (VaR) previo a la crisis en el sector bancario espanol," Revista Ad-Minister, Universidad EAFIT, July.
    • Handle: RePEc:col:000475:012689
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    References listed on IDEAS

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    More about this item

    Keywords

    Valor en riesgo; sector bancario español; gestión del riesgo; información financiera; reporte anual;
    All these keywords.

    JEL classification:

    • M10 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - General
    • M40 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - General
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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