IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones

  • Oscar Becerra

    ()

  • Luis Fernando Melo

    ()

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.banrep.gov.co/docum/ftp/borra489.pdf
Download Restriction: no

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004523.

as
in new window

Length: 96
Date of creation: 19 Feb 2008
Date of revision:
Handle: RePEc:col:000094:004523
Contact details of provider:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:col:000094:004523. 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: (Clorith Angélica Bahos Olivera)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.