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Una aproximación dinámica a la medición del riesgo de mercado para los bancos comerciales en Colombia

Author

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  • Oscar Martínez A.
  • Jorge Mario Uribe Gil

Abstract

En este artículo se describe la metodología utilizada para la medición del riesgo de mercado llevada a cabo en el Reporte de Estabilidad Financiera, mediante el uso de técnicas dinámicas no sólo en la modelación de volatilidades sino también de correlaciones. La medida de Valor en Riesgo (VeR) se calculó individualmente para los bancos comerciales con periodicidad semanal entre febrero de 2003 y febrero de 2008. Los cálculos de los VeR estáticos y dinámicos muestran diferencias cuantitativas significativas en períodos de turbulencia, lo que resalta la importancia de las nuevas medidas de riesgo propuestas.

Suggested Citation

  • Oscar Martínez A. & Jorge Mario Uribe Gil, 2008. "Una aproximación dinámica a la medición del riesgo de mercado para los bancos comerciales en Colombia," Temas de Estabilidad Financiera 031, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:temest:031
    DOI: 10.32468/tef.31
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    Cited by:

    1. Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364, Bank for International Settlements.
    2. Uribe Gil, Jorge Mario & Ulloa Villegas, Inés Maria, 2012. "La medición del riesgo en eventos extremos. Una revisión metodológica en contexto," Revista Lecturas de Economía, Universidad de Antioquia, CIE, June.

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