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Modelo de dos factores con dinámica DCC en la evaluación del riesgo de crédito

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  • Carlos A. Reyes

    ()
    (El Colegio de México)

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    Abstract

    Se presenta un modelo de dos factores para estimar el riesgo de crédito de un portafolio de acciones. La especificación de los rendimientos incluye un factor local (IPC) y un factor global (S&P500) cuya estructura de correlaciones sigue un proceso DCC (Dynamic Conditional Correlations). Las varianzas condicionales tienen una parametrización TARCH modificada. Se considera el período 1994-2009 para analizar la distribución de los rendimientos agregados de un portafolio de acciones de la Bolsa Mexicana de Valores durante las crisis de 1994/1995 y 2007/2009. Las funciones de distribución obtenidas muestran un comportamiento empírico que describe adecuadamente los períodos económicos analizados. Los resultados son consistentes con los hechos estilizados de una mayor dependencia en la cola izquierda de la distribución de rendimientos y de exceso de curtosis en períodos de estrés económico. El modelo de dos factores describe una cola más ancha que el modelo de un factor durante la crisis de 1994/1995. La metodología propuesta es innovadora en el análisis de series de tiempo financieras mexicanas y es aplicable para el análisis de portafolios en mercados integrados a un mercado más grande, ya sea global o regional.

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    File URL: http://cee.colmex.mx/documentos/documentos-de-trabajo/2012/dt20126.pdf
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    Bibliographic Info

    Paper provided by El Colegio de México, Centro de Estudios Económicos in its series Serie documentos de trabajo del Centro de Estudios Económicos with number 2012-06.

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    Date of creation: Feb 2012
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    Handle: RePEc:emx:ceedoc:2012-06

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    Web page: http://www.colmex.mx/centros/cee/
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    Related research

    Keywords: credit risk; DCC; finance; multivariate volatility models;

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