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La medición del riesgo en eventos extremos. Una revisión metodológica en contexto

Listed author(s):
  • Uribe Gil, Jorge Mario

    ()

  • Ulloa Villegas, Inés Maria

    ()

Registered author(s):

    Resumen: En este documento se exploran varias metodologías para el cálculo del Valor en Riesgo (VeR)utilizadas actualmente en la regulación internacional y la administración de portafolios. Se exponen laslimitantes de las mismas y las posibles consecuencias de ignorarlas, ilustradas por la pasada crisis financiera global (2007-2009). Se estiman también medidas de pérdida esperada en las colas, basadas en la Teoría del Valor Extremo y se contrastan con las estimaciones del VeR con el fin de generar un ranking de riesgo entre varios mercados accionarios del mundo. El estudio se realiza para varios países en Latinoamérica y algunos países desarrollados. Se corrobora la lección ampliamente señalada por la literatura académica de que el VeR no es adecuado para la medición del riesgo en momentos en los cuales el mercado se enfrenta a choques extremos. De esa forma se resalta la necesidad de utilizar medidas más robustas enfocadas en las colas de la distribución para la medición del riesgo.Abstract: This paper reviews the basic methodologies for the estimation of Value at Risk (VaR) that are currently in use in international stock and financial market regulation and portfolio management. The main shortcomings of these methodologies are exposed and the direct consequences of ignoring these limitations are analyzed, the latter highlighted by the recent global financial crisis of 2007-2009. In addition, methodologies for the estimation of expected tail losses, based on the Extreme Value Theory, are examined. Both kinds of measures are contrasted with the aim to create a `risk ranking´ of different stock markets around the world. The study explores the major Latin American markets and some in developed countries. The lessons widely highlighted in the academic literature related to the shortcomings of VaR when markets face extreme events are corroborated. The paper concludes by stressing the need for more robust measures focused on the tails of the distribution in the measurement of risk.

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    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/12812/11543
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    Article provided by UNIVERSIDAD DE ANTIOQUIA - CIE in its journal REVISTA LECTURAS DE ECONOMÍA.

    Volume (Year): (2012)
    Issue (Month): (June)
    Pages:

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    Handle: RePEc:col:000174:010149
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    1. Xavier Freixas, 2010. "Post-crisis challenges to bank regulation," Economic Policy, CEPR;CES;MSH, vol. 25, pages 375-399, 04.
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    7. Oscar Martínez A. & Jorge Mario Uribe Gil, "undated". "Una aproximación dinámica a la medición del riesgo de mercado para los bancos comerciales en Colombia," Temas de Estabilidad Financiera 031, Banco de la Republica de Colombia.
    8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    9. Rene M. Stulz, 2010. "Credit Default Swaps and the Credit Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 73-92, Winter.
    10. Peter Temin, 2010. "The Great Recession and the Great Depression," NBER Working Papers 15645, National Bureau of Economic Research, Inc.
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