IDEAS home Printed from https://ideas.repec.org/a/udc/esteco/v28y2001i2p217-247.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.econ.uchile.cl/uploads/publicacion/d21e154f-3899-428d-9a68-255c3a876963.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
    2. Grossman, Sanford J & Miller, Merton H, 1988. " Liquidity and Market Structure," Journal of Finance, American Finance Association, vol. 43(3), pages 617-637, July.
    3. Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-062, New York University, Leonard N. Stern School of Business-.
    4. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
    5. Johnson, Christian A., 2001. "Un modelo de intervención cambiaria," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(271), pages 339-367, julio-sep.
    6. Huang, Roger D & Stoll, Hans R, 1997. "The Components of the Bid-Ask Spread: A General Approach," Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 995-1034.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
    9. Hols, Martien C A B & de Vries, Casper G, 1991. "The Limiting Distribution of Extremal Exchange Rate Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(3), pages 287-302, July-Sept.
    10. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.
    11. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
    12. Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. 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 Financ
      ," MPRA Paper 14700, University Library of Munich, Germany.
    4. 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.
    5. 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.
    6. Greg Brunner & Richard Hinz & Roberto Rocha, 2008. "Risk-based Supervision of Pension Funds : Emerging Practices and Challenges," World Bank Publications, The World Bank, number 6419.

    More about this item

    Keywords

    Value at Risk; GARCH; Volatility.;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:udc:esteco:v:28:y:2001:i:2:p:217-247. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Verónica Kunze). General contact details of provider: http://edirc.repec.org/data/deuclcl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.