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Generalizaciones de la metodología VAR para el análisis de riesgos de fondeo líquidez, y margen financiero

Author

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  • Edgar Rodolfo Castillo Huerta

Abstract

In this paper, we study an extension of value at risk as an alternative to the structural risk management applied to financial institutions, banks particularly. This investigation was aimed to identify, quantify and control risk. We propose to use risk measures over both sides of the balance sheet (assets and liabilities) and over cash flows of a institution. We suggest risk control measures: funding, earnings and liquidity, besides the well-known measure of market value at risk (VaR)

Suggested Citation

  • Edgar Rodolfo Castillo Huerta, 2008. "Generalizaciones de la metodología VAR para el análisis de riesgos de fondeo líquidez, y margen financiero," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(1), pages 1-8.
    • Handle: RePEc:ega:rafega:200801
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A1Castillo.pdf
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    More about this item

    Keywords

    Riesgo; Var; MaR; LaR; WaR; Liquidez; Fondeo; Banco; límites;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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