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Consideraciones en la estimación de cuantiles altos en el riesgo operativo

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Abstract

Este artículo revisa la reciente literatura concernientea los tres enfoques propuestos por el Comitéde Basilea para cuantificar el riesgo operativo, conespecial énfasis en los modelos de medición avanzada.Bajo estos modelos, el comité recomiendacuantificar el riesgo operativo al 99,9% y en un horizontede un ano. Por tal razón, se realizan varioscomentarios que deben tenerse en cuenta en laestimación de cuantiles altos basados en estudiosprevios. Finalmente, se recomienda para Colombiael uso de modelos de distribución de pérdidasagregadas (LDA), para los cuales existen métodossencillos de implementar para cuantificar el VaR al99,9%, cuando las distribuciones de las severidadescumplen ciertas condiciones.

Suggested Citation

  • Andrés Mora, 2010. "Consideraciones en la estimación de cuantiles altos en el riesgo operativo," Análisis - Revista del Mercado de Valores, Autorregulador del Mercado de Valores de Colombia, December.
    • Handle: RePEc:col:000417:007901
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    More about this item

    Keywords

    enfoque de medición avanzada; enfoque de distribución de pérdidas agregadas; teoríadel valor extremo; valor en riesgo; riesgo operativo;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • 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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