El VAR econométrico como alternativa de estimación del valor en riesgo a través de variables fundamentales y de mercado
Fecha
2010
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Universidad EAFIT
Resumen
Las entidades financieras deben gestionar sus riesgos de mercado por mandato regulatorio. A pesar de esto, las crisis asociadas con este tipo de riesgo siguen presentándose, generando pérdidas cada vez más significativas y dando lugar a inestabilidad para el sistema económico internacional, abierto e interdependiente. La mayoría de los modelos tradicionales de medición del riesgo de mercado, no tienen en cuenta el entorno macroeconómico como factor de riesgo, a pesar de que se ha demostrado que las grandes crisis se presentan principalmente por fallos estructurales relacionados con este (Anexo 1). En este trabajo se propone un modelo de VaR de tipo econométrico (en adelante, E-VAR), para estimar el Valor en Riesgo de los TES colombianos, según el estado de la economía, que tiene en cuenta el comportamiento de ciertas variables de mercado y del entorno económico. Este modelo resulta ser eficiente, sencillo y fácilmente aplicable.
For all the financial institutions is mandatory to regulate and to manage their market risk: However, the crises associated to this type of risk still occur. Those crises generate increasing losses increase, and generate instability to the international economic system that is more open and interdependent. Most of the traditional models used to measure market risk do not take into account the macroeconomic environment as a risk factor, in spite that it has been demonstrated that those big crises obey to structural failures in this environment. In this document, an econometric-type VaR model (E-VAR), to estimate the Value at Risk of the Colombian TES it is proposed. It takes into account some market and fundamental variables as well as the economic environment. This model is efficient, simple and easily applicable.
For all the financial institutions is mandatory to regulate and to manage their market risk: However, the crises associated to this type of risk still occur. Those crises generate increasing losses increase, and generate instability to the international economic system that is more open and interdependent. Most of the traditional models used to measure market risk do not take into account the macroeconomic environment as a risk factor, in spite that it has been demonstrated that those big crises obey to structural failures in this environment. In this document, an econometric-type VaR model (E-VAR), to estimate the Value at Risk of the Colombian TES it is proposed. It takes into account some market and fundamental variables as well as the economic environment. This model is efficient, simple and easily applicable.
Descripción
1 CD-ROM
Palabras clave
Riesgo Financiero, Tesis. Maestría en Finanzas, Valor en Riesgo VAR, Tes