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Una aproximación dinámica a la medición del riesgo de mercado para los bancos comerciales en Colombia

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Author Info
Oscar Martínez A. ()
Jorge Mario Uribe Gil ()
Abstract

En este artículo se describe la metodología utilizada para la medición del riesgo de mercado llevada a cabo en el Reporte de Estabilidad Financiera, mediante el uso de técnicas dinámicas no sólo en la modelación de volatilidades sino también de correlaciones. La medida de Valor en Riesgo (VeR) se calculó individualmente para los bancos comerciales con periodicidad semanal entre febrero de 2003 y febrero de 2008. Los cálculos de los VeR estáticos y dinámicos muestran diferencias cuantitativas significativas en períodos de turbulencia, lo que resalta la importancia de las nuevas medidas de riesgo propuestas.

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2008/aproximacion.pdf
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Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 031.

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Handle: RePEc:bdr:temest:031

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This page was last updated on 2009-12-9.

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