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Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM

Author

Listed:
  • Bárbara Ruth Trejo Becerril

    (Universidad Anáhuac, México)

  • Alberto Gallegos David

    (Universidad Anáhuac, México)

Abstract

El objetivo de este estudio es medir el riesgo de mercado de portafolios de acciones del mercado financiero mexicano en periodos de alta volatilidad mediante cuatro metodologías: 1) la Beta del CAPM (?-CAPM), 2) el VaR-Simulación Histórica (VaR-SH), 3) VaR-Delta Normal (VaR-?N) y 4) VaR-Simulación Montecarlo (VaR-SM). Estas métricas se seleccionaron por ser parsimoniosas. Los resultados muestran que las metodologías son consistentes en periodos de alta volatilidad. Se recomienda calcular la composición del portafolio de mercado y su VaR, para hacerlas comparables. La limitante principal, es que la ?-CAPM únicamente se puede calcular para portafolios de acciones, mientras que el cálculo del VaR con estas metodologías no contempla la ocurrencia de eventos extremos. Esto implica que los niveles de riesgo podrían subestimarse en periodos de alta volatilidad. La originalidad de este estudio reside en la comparación de estas metodologías mediante el cálculo de la composición del portafolio de mercado. Concluimos que el VaR-SH estima un mayor riesgo que la ?-CAPM después de experimentarse la alta volatilidad, si bien la ?-CAPM es consistente para las metodologías de VaR empleadas.

Suggested Citation

  • Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:2:a:9
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    References listed on IDEAS

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    More about this item

    Keywords

    Valor en Riesgo; Simulación Histórica; Simulación Montecarlo; Modelo de Rendimiento de Activos de Capital (CAPM);
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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