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Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones

Author

Listed:
  • Oscar Becerra

    ()

  • Luis Fernando Melo

    ()

Abstract

Este documento realiza una descripción de las medidas de dependencia consus principales ventajas y desventajas y presenta a la cópula como una estructura flexibleque permite caracterizar diferentes tipos de dependencia. Adicionalmente, introduce eluso de la cópula en la medici´on de riesgo financiero, tomando como ejemplo un portafoliocompuesto por tres activos representativos del mercado colombiano.Las pruebas de desempeño o de backtesting del valor en riesgo calculado por diferentesmetodologías en los años 2006 y 2007 muestran que las mejores son aquellas que modelanla dependencia en media y varianza, tales como modelos VAR-GARCH-C´opula(t) yVAR-GARCH-Co´pula(normal). Las técnicas con el peor desempeño son RiskmetricsR yla basada en el supuesto de normalidad.

Suggested Citation

  • Oscar Becerra & Luis Fernando Melo, 2008. "Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones," BORRADORES DE ECONOMIA 004523, BANCO DE LA REPÚBLICA.
  • Handle: RePEc:col:000094:004523
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    Cited by:

    1. Loaiza-Maya, Rubén Albeiro & Gómez-González, José Eduardo & Melo-Velandia, Luis Fernando, 2015. "Exchange rate contagion in Latin America," Research in International Business and Finance, Elsevier, vol. 34(C), pages 355-367.
    2. Rubén Albeiro Loaiza Maya & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo Velandia, 2015. "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Contemporary Economic Policy, Western Economic Association International, vol. 33(3), pages 535-549, July.
    3. Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2014. "Modelación de la asimetría y curtosis condicionales: una aplicación VaR para series colombianas," Borradores de Economia 834, Banco de la Republica de Colombia.

    More about this item

    Keywords

    Dependencia; cópula; riesgo de mercado; riesgo de crédito; métodos desimulación de Monte Carlo.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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