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Valor en Riesgo de los Activos Financieros Colombianos Aplicando la Teoría de Valor Extremo

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  • Pamela Cardozo

Abstract

Desde finales de los años 80 el sistema financiero colombiano ha experimentado cambios fundamentales acompañados de una mayor volatilidad del entorno en que se desenvuelve la actividad financiera. Como parte del fortalecimiento de la regulación prudencial, desde el 2000 en Colombia, se está supervisando el riesgo de mercado medido a través del Valor en Riesgo (VeR). El VeR se define como la máxima pérdida potencial en el valor de un activo o portafolio, dada una probabilidad, debido a cambios en los precios del mercado, en un horizonte de tiempo determinado. Para obtener el VeR de un activo generalmente se supone que los retornos siguen una distribución normal, sin embargo existe gran evidencia de que ésta no se ajusta en forma correcta a la serie de retornos financieros. En este estudio se utiliza la teoría de valor extremo (TVE) para obtener el VeR de 6 activos financieros colombianos utilizando el método de Picos sobre un umbral (Peaks over Thresholds (POT)) mostrando que la distribución normal nno se ajusta a la distribución de los retornos de los activos colombianos. Se modela de forma satisfactoria la distribución de las series, bajo el supuesto de observaciones independientes e idénticamente distribuidas, especialmente en la parte extrema de la distribución. Se compara el VeR obtenido (VeR TVE) y el VeR bajo el supuesto de distribución normal con los retornos reales dando como resultado un mejor ajuste del VeR de TVE. En el último examen de desempeño, la hipótesis nula de que el modelo realiza una buena estimación es rechazada 11 veces por el método tradicional (distribución normal) mientras que el método de TVE lo hace 6 veces.

Suggested Citation

  • Pamela Cardozo, 2004. "Valor en Riesgo de los Activos Financieros Colombianos Aplicando la Teoría de Valor Extremo," Borradores de Economia 304, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:304
    DOI: 10.32468/be.304
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    References listed on IDEAS

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    1. Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
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    Cited by:

    1. Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005. "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia.
    2. Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
    3. Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," 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. 14(2), pages 279-307, Abril-Jun.

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    Keywords

    Valor en riesgo; Teoría de valor extremo; POT;
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