La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano
[Liquidity Risk Management in Emerging Economies: A Parametric Value-at-Risk (VaR) model with Indirect Calibration and an Application to the Bolivian Financial System]
AbstractTime series of obligations with the public are important to liquidity risk management in emerging economies, but a traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical distribution of the data and not necessarily to the Gaussian distribution.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14247.
Date of creation: Jan 2009
Date of revision:
Valor-en-Riesgo; Value-at-Risk; riesgo de liquidez; VaR; medición de riesgos; medidas de riesgo;
Find related papers by JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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- Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.).
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
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- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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