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

Arias, Mauricio; Mendoza-Gutiérrez, Juan Carlos; Perez-Reyna, David

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

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Temas de Estabilidad Financiera ; No. 47

Date published

2010-03-01

Date

2010-03

Authors

Arias, Mauricio
Mendoza-Gutiérrez, Juan Carlos
Perez-Reyna, David

Document language

eng

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Las 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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

In 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