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Value at risk: teoría y aplicaciones


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  • Christian A.Johnson


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    El concepto de Value at Risk (valor del riesgo) se ha popularizado hace ya casi una década. Este artículo describe el significado de este concepto, y presenta aplicaciones sobre carteras de activos de bonos, acciones, forwards de tasa de interés y de tipos de cambio, y swaps. Se introducen asimetrías en la metodología de generación de volatilidades, a través de modelos de heteroscedasticidad asimétricos, de manera de proyectar mejor los niveles de riesgo futuros. Adicionalmente, se discute la metodología de ajuste del Value at Risk en un escenario de iliquidez de los activos que conforman un portafolio. Para esta situación se presenta un mecanismo de ajuste para el cálculo del indicador de riesgo de mercado VaR. Finalmente se efectúa una aplicación metodológica a una muestra de tres instituciones financieras analizando las volatilidades de las utilidades operacionales

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    Bibliographic Info

    Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

    Volume (Year): 28 (2001)
    Issue (Month): 2 Year 2001 (December)
    Pages: 217-247

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    Handle: RePEc:udc:esteco:v:28:y:2001:i:2:p:217-247

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    Keywords: Value at Risk; GARCH; Volatility.;

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    Cited by:
    1. Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications, The World Bank, number 6419, August.
    2. Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
    3. Gonzales-Martínez, Rolando, 2008. "Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano
      [Risk Measures and an Application to the Withdrawals of Deposits in the Bolivian Fina
      ," MPRA Paper 14700, University Library of Munich, Germany.


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