Applying CoV aR to Measure Systemic Market Risk: the Colombian Case
AbstractIn Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the risk codependence among agents has not been analyzed yet from the perspective of this risk. Therefore, this paper presents an approach to estimate such relevance based on CoVaR and quantile regressions. This methodology is flexible enough to allow the estimation of the systemic market risk contribution of banks, pension funds, and between different types of financial institutions. Results suggest that risk codependence among entities increases during distress periods.
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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 047.
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Systemic Market Risk; CoVaR; Value at Risk; Quantile Regression. Classification JEL: C20; G14; G21.;
Other versions of this item:
- Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364 Bank for International Settlements.
- Qua - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - - - -
- Reg - Urban, Rural, Regional, Real Estate, and Transportation Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
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