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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]

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Author Info
Gonzales-Martínez, Rolando

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Abstract

This 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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File URL: http://mpra.ub.uni-muenchen.de/14700/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14700.

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Date of creation: Sep 2008
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Handle: RePEc:pra:mprapa:14700

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Related research
Keywords: Valor en Riesgo; Riesgo de liquidez; corridas de depósitos;

Find related papers by JEL classification:
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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  1. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer, vol. 27(2), pages 207-228, May. [Downloadable!] (restricted)
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This page was last updated on 2009-12-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.