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

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorArias, Mauricio
dc.creatorMendoza-Gutiérrez, Juan Carlos
dc.creatorPerez-Reyna, David
dc.date.available2015-12-06T08:30:10Zeng
dc.date.available2015-12-14T08:30:10Zeng
dc.date.available2017-10-24T08:30:10Zeng
dc.date.created2010-03-01spa
dc.date.issued2010-03eng
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 periodseng
dc.format.extent17 páginas : ilustraciones, gráficas, tablaseng
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2149spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2149eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/tef.47spa
dc.relation.ispartofDocumentos de Trabajoeng
dc.relation.ispartofseriesTemas de Estabilidad Financieraeng
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 47eng
dc.relation.numbertef 47eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/047.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.eng
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
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).eng
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.eng
dc.source.handleRepecRePEc:bdr:temest:047spa
dc.subjectRiesgo sistémico de mercadoeng
dc.subjectCoV aReng
dc.subjectValor en riesgoeng
dc.subjectRegresión por cuantileseng
dc.subject.jelC20 - Single Equation Models; Single Variables: Generaleng
dc.subject.jelG14 - Information and Market Efficiency; Event Studies; Insider Tradingeng
dc.subject.jelG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgageseng
dc.subject.jelspaC20 - Modelos uniecuacionales; variables simples: Generalidadesspa
dc.subject.jelspaG14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiadaspa
dc.subject.jelspaG21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecasspa
dc.subject.keywordSystemic Market Riskeng
dc.subject.keywordCoV aR, Value at Riskeng
dc.subject.keywordQuantile Regressioneng
dc.subject.lembRiesgo (Economía) -- Colombia -- 2009-spa
dc.subject.lembRiesgo bancario -- Colombia -- 2009-spa
dc.subject.lembRiesgo financiero -- Colombia -- 2009-spa
dc.titleApplying CoV aR to measure systemic market risk : the colombian caseeng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajoeng

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