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Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos

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  • Jorge M. Uribe
  • Julián Fernández

Abstract

Se plantea el coeficiente de dependencia asintótica, basado en cópulas, como una medida para la administración del riesgo en portafolios de acciones. Se describen algunos aspectos de las estructuras macro y microeconómicas del mercado en Colombia, motivando la introducción de medidas como la propuesta. La aplicación a catorce de las acciones más líquidas en el período de estudio (2007-2012) permite dar algunas recomendaciones de diversificación en caso de materialización de eventos extremos. En consecuencia, con la hipótesis de partida, se encuentran indicios de una alta vulnerabilidad del mercado de acciones colombiano ante eventos de tipo sistémico. ***** The coefficients of tail dependence, based on copulas, are proposed as a measure for portfolio risk management. Some aspects of the macro and microstructures of the Colombian stock market are described. Such features encourage the use of measures, such as the one proposed herein. The application of the proposed methodology to the fourteen most liquid shares in the study period (2007-2012) was derived from some diversification recommendations under extreme events. The main conclusion, based on the starting hypothesis, relates the evidence of high vulnerability in the Colombian stock market to an event of systemic risk.

Suggested Citation

  • Jorge M. Uribe & Julián Fernández, 2014. "Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, August.
    • Handle: RePEc:col:000093:012150
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    References listed on IDEAS

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    More about this item

    Keywords

    mercado de acciones colombiano; dependencia asintótica; diversificación del riesgo; eventos extremos; estructura del mercado de accionescolombiano.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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