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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 cesaci�n de pagos (CDS, por sus siglas en ingl�s). De esta manera, este art�culo en primer lugar, toma el caso de Grecia, Italia y Espa�a y sus respectivos �ndices accionarios. En segundo lugar se analiza y muestra evidencia de relaci�n existente entre el spread observado de los CDS de la rep�blica de Colombia y el �ndice accionario COLCAP. Seguidamente se enfoca en el valor en riesgo (VaR, por sus siglas en ingl�s) condicional de estos CDS� en per�odos antes y durante la crisis crediticia, y se encuentra que estimados de VaR bajo el supuesto de distribuci�n normal no es adecuado en el an�lisis de mercado de CDS.

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

Volume (Year): (2011)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000107:009445
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  1. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
  2. Stephen Cecchetti & Madhusudan Mohanty & Fabrizio Zampolli, 2010. "The future of public debt: prospects and implications," BIS Working Papers 300, Bank for International Settlements.
  3. Jorge A. Chan-Lau & Yoon Sook Kim, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund.
  4. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
  5. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
  6. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  7. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA.
  8. Piga, Gustavo, 2001. "Do Governments Use Financial Derivatives Appropriately? Evidence from Sovereign Borrowers in Developed Economies," International Finance, Wiley Blackwell, vol. 4(2), pages 189-219, Summer.
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