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Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones

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Author Info

  • Oscar Becerra

    ()

  • Luis Fernando Melo

    ()

Abstract

Este documento realiza una descripción de las medidas de dependencia consus principales ventajas y desventajas y presenta a la cópula como una estructura flexibleque permite caracterizar diferentes tipos de dependencia. Adicionalmente, introduce eluso de la cópula en la medici´on de riesgo financiero, tomando como ejemplo un portafoliocompuesto por tres activos representativos del mercado colombiano.Las pruebas de desempeño o de backtesting del valor en riesgo calculado por diferentesmetodologías en los años 2006 y 2007 muestran que las mejores son aquellas que modelanla dependencia en media y varianza, tales como modelos VAR-GARCH-C´opula(t) yVAR-GARCH-Co´pula(normal). Las técnicas con el peor desempeño son RiskmetricsR yla basada en el supuesto de normalidad.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004523.

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Length: 96
Date of creation: 19 Feb 2008
Date of revision:
Handle: RePEc:col:000094:004523

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Related research

Keywords: Dependencia; cópula; riesgo de mercado; riesgo de crédito; métodos desimulación de Monte Carlo.;

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Cited by:
  1. Rubén Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," BORRADORES DE ECONOMIA 009902, BANCO DE LA REPÚBLICA.

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