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Applying CoV aR to measure systemic market risk : the colombian case

dc.creatorArias, Mauricio
dc.creatorMendoza-Gutiérrez, Juan Carlos
dc.creatorPerez-Reyna, David
dc.date.created2010-03-01
dc.date.issued2010-03
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2149
dc.description.abstractIn Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the risk codependence among agents has not been analyzed yet from the perspective of this risk. Therefore, this paper presents an approach to estimate such relevance based on CoVaR and quantile regressions. This methodology is flexible enough to allow the estimation of the systemic market risk contribution of banks, pension funds, and between different types of financial institutions. Results suggest that risk codependence among entities increases during distress periods
dc.format.extent17 páginas : ilustraciones, gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesTemas de Estabilidad Financiera
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 47
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectRiesgo sistémico de mercado
dc.subjectCoV aR
dc.subjectValor en riesgo
dc.subjectRegresión por cuantiles
dc.titleApplying CoV aR to measure systemic market risk : the colombian case
dc.typeWorking Paper
dc.subject.jelC20 - Single Equation Models; Single Variables: General
dc.subject.jelG14 - Information and Market Efficiency; Event Studies; Insider Trading
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordSystemic Market Risk
dc.subject.keywordCoV aR, Value at Risk
dc.subject.keywordQuantile Regression
dc.subject.lembRiesgo (Economía) -- Colombia -- 2009-
dc.subject.lembRiesgo bancario -- Colombia -- 2009-
dc.subject.lembRiesgo financiero -- Colombia -- 2009-
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC20 - Modelos uniecuacionales; variables simples: Generalidades
dc.subject.jelspaG14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationChan-Lau, J. A. (2008). \Default Risk Codependence in the Global Financial System: Was the Bear Stearns Bailout Justified? "http://www.bcentral.cl/conferencias-seminarios/seminarios/index.htm.
dc.source.bibliographicCitationMartínez, O. & Uribe Gil, J. M. (2008). \Una aproximación dinámica a la medición del riesgo de mercado para los bancos comerciales en Colombia". Temas de Estabilidad Financiera, 31, Banco de la República (Central Bank of Colombia).
dc.source.bibliographicCitationSaade Ospina, A. (2010). \Aproximación cuantitativa a la centralidad de los bancos en el mercado interbancario y su relación con el riesgo de liquidez,"Master's thesis, Universidad de los Andes, Colombia.
dc.relation.doihttps://doi.org/10.32468/tef.47
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/047.html
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2149
dc.source.handleRepecRePEc:bdr:temest:047


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