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Sobre La Matriz De Correlación Para El Cálculo Del Valor En Riesgo (Ver)

Author

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  • Alexander Zapata Galindo
  • David Ricaurte Avella

Abstract

Recientemente, la Superintendencia Bancaria estableció los criterios y procedimientos que deben seguir los intermediarios de crédito para la medición de su exposición a los riesgos de mercado. Para ello, las entidades pueden optar por el desarrollo de modelos internos o la metodología estándar definida en las circulares externas 042 de 2001, 003 de 2002 y 007 de 2002. En la metodología estándar de esta superintendencia se define una matriz de correlación de los diferentes factores de riesgo, la cual es indispensable para el cálculo del Valor en Riesgo (VeR) de los portafolios de las entidades. El problema radica en que esta matriz no era internamente consistente o, equivalentemente, no era semidefinida positiva; en este orden de ideas, el cálculo del Valor en Riesgo podría generar un número negativo (

Suggested Citation

  • Alexander Zapata Galindo & David Ricaurte Avella, 2003. "Sobre La Matriz De Correlación Para El Cálculo Del Valor En Riesgo (Ver)," Apuntes de Banca y Finanzas 3506, Asobancaria.
    • Handle: RePEc:col:000086:003506
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    Keywords

    Valor en Riesgo;

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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