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Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAViaR para el mercado de valores colombi

  • Charle Augusto Llondoño

    ()

Existen diversas metodologías para calcular el valor en riesgo (VaR) que pretenden capturar principalmente el riesgo de mercado al que están expuestas las instituciones financieras. Siendo el modelo de valor en riesgo condicional autorregresivo (CAViaR) de Engle y Manganelli (1999, 2001, 2004) una buena aproximación empírica para la verdadera medida VaR, tanto para cubrir el riesgo como para el cumplimiento de la regulación bancaria. Por consiguiente, el objetivo de este artículo es realizar una aproximación al modelo CAViaR para el mercado de valores colombiano, empleando diferentes factores de riesgo macroeconómicos y financieros como los esbozados en Chernozhukov y Umantsev (2001); además, se busca establecer qué regla empírica permite una mejor captura del comportamiento del índice general de la Bolsa de Valores de Colombia (IGBC).

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): 29 (2011)
Issue (Month): 64 (July)
Pages: 62-109

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Handle: RePEc:col:000107:009443
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