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Aplicación de la teoría de valores extremos al gerenciamiento del riesgo

Author

Listed:
  • Miguel T. Delfiner
  • Matías A. Gutiérrez Girault

Abstract

Los activos en los mercados emergentes se caracterizan por una distribución de sus retornos más leptocúrtica que la de sus pares en mercados desarrollados. En este contexto se han aplicado diversas técnicas basadas en la Teoría de Valores Extremos (EVT) a un gran número de activos locales, a efectos de calcular su Valor a Riesgo (VaR). Estos resultaron ser mucho más precisos a la hora de predecir pérdidas extremas respecto a valores de VaR obtenidos bajo la hipótesis normal. Las técnicas consisten en un método estático2 y un método dinámico para calcular el VaR. Este último combina una estimación por pseudo máxima verosimilitud de un modelo AR(1) – GARCH(1,1) para la volatilidad corriente y EVT para estimar la cola de la distribución de la innovación del modelo.

Suggested Citation

  • Miguel T. Delfiner & Matías A. Gutiérrez Girault, 2002. "Aplicación de la teoría de valores extremos al gerenciamiento del riesgo," CEMA Working Papers: Serie Documentos de Trabajo. 217, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:217
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    File URL: https://www.ucema.edu.ar/publicaciones/download/documentos/217.pdf
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    References listed on IDEAS

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    1. repec:adr:anecst:y:2000:i:60:p:10 is not listed on IDEAS
    2. Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    Cited by:

    1. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
    2. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    3. Alfredo Calderon Vela & Gabriel Rodríguez, 2014. "Extreme Value Theory: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers 2014-394, Departamento de Economía - Pontificia Universidad Católica del Perú.

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