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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 Financial System]

Author

Listed:
  • Gonzales-Martínez, Rolando

Abstract

This paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the withdrawals of deposits in the Bolivian financial system. The results suggest that it’s important to consider the statistical assumptions of these measures, in order to avoid underestimate or overestimate the true financial risks.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:14700
    as

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    File URL: https://mpra.ub.uni-muenchen.de/14700/1/MPRA_paper_14700.pdf
    File Function: original version
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    References listed on IDEAS

    as
    1. 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.
    2. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Valor en Riesgo; Riesgo de liquidez; corridas de depósitos;

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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