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La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano
[Liquidity Risk Management in Emerging Economies: A Parametric Value-at-Risk (VaR) model with Indirect Calibration and an Application to the Bolivian Financial System]

Author

Listed:
  • Gonzales-Martínez, Rolando

Abstract

Time series of obligations with the public are important to liquidity risk management in emerging economies, but a traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical distribution of the data and not necessarily to the Gaussian distribution.

Suggested Citation

  • Gonzales-Martínez, Rolando, 2009. "La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano
    [Liquidity Risk Manag
    ," MPRA Paper 14247, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:14247
    as

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    File URL: https://mpra.ub.uni-muenchen.de/14247/1/MPRA_paper_14247.pdf
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    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. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.).
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Valor-en-Riesgo; Value-at-Risk; riesgo de liquidez; VaR; medición de riesgos; medidas de riesgo;

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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