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CDS: relación con índices accionarios y medida de riesgo

  • Bernardo León

    ()

  • Andrés Mora

    ()

Un indicador de la crisis financiera ha sido el comportamiento de los contratos de seguros contra la cesación de pagos (CDS, por sus siglas en inglés). De esta manera, este artículo en primer lugar, toma el caso de Grecia, Italia y España y sus respectivos índices accionarios. En segundo lugar se analiza y muestra evidencia de relación existente entre el spread observado de los CDS de la república de Colombia y el índice accionario COLCAP. Seguidamente se enfoca en el valor en riesgo (VaR, por sus siglas en inglés) condicional de estos CDS en períodos antes y durante la crisis crediticia, y se encuentra que estimados de VaR bajo el supuesto de distribución normal no es adecuado en el análisis de mercado de CDS.

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File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/espe_64_5.pdf
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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: 178-211

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Handle: RePEc:col:000107:009445
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