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Value at risk: teoría y aplicaciones

Author

Listed:
  • Christian A.Johnson

Abstract

El concepto de Value at Risk (valor del riesgo) se ha popularizado hace ya casi una década. Este artículo describe el significado de este concepto, y presenta aplicaciones sobre carteras de activos de bonos, acciones, forwards de tasa de interés y de tipos de cambio, y swaps. Se introducen asimetrías en la metodología de generación de volatilidades, a través de modelos de heteroscedasticidad asimétricos, de manera de proyectar mejor los niveles de riesgo futuros. Adicionalmente, se discute la metodología de ajuste del Value at Risk en un escenario de iliquidez de los activos que conforman un portafolio. Para esta situación se presenta un mecanismo de ajuste para el cálculo del indicador de riesgo de mercado VaR. Finalmente se efectúa una aplicación metodológica a una muestra de tres instituciones financieras analizando las volatilidades de las utilidades operacionales

Suggested Citation

  • Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    • Handle: RePEc:udc:esteco:v:28:y:2001:i:2:p:217-247
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    Cited by:

    1. Gonzales-Martínez, Rolando, 2008. "Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano [Risk Measures and an Application to the Withdrawals of Deposits in the Bolivian Financial System]," MPRA Paper 14700, University Library of Munich, Germany.
    2. Pedauga Sánchez, Luis Enrique, 2003. "Modelo de intervención cambiaria para el caso venezolano [Exchange intervention model for Venezuelan]," MPRA Paper 35407, University Library of Munich, Germany.
    3. Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016. "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 29-52, June.
    4. Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
    5. Solange Berstein & Rómulo Chumacero, 2005. "Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos," Working Papers 3, Superintendencia de Pensiones, revised Apr 2005.
    6. Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications - Books, The World Bank Group, number 6419, April.

    More about this item

    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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