Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano
[Risk Measures and an Application to the Withdrawals of Deposits in the Bolivian Financial System]
AbstractThis paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the withdrawals of deposits in the Bolivian financial system. The results suggest that it’s important to consider the statistical assumptions of these measures, in order to avoid underestimate or overestimate the true financial risks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14700.
Date of creation: Sep 2008
Date of revision:
Valor en Riesgo; Riesgo de liquidez; corridas de depósitos;
Find related papers by JEL classification:
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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- Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Society for Computational Economics, vol. 27(2), pages 207-228, May.
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