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Análisis de Riesgo Macro-financiero para Venezuela
[Macro-financial risk for Venezuela]

Author

Listed:
  • Moreno, María Antonia
  • Pagliacci, Carolina

Abstract

En este trabajo se analiza el riesgo crediticio de la economía venezolana con base en el enfoque de pasivos contingentes (contingent claim analysis). Esta metodología se orienta a la obtención de indicadores que cuantifican el riesgo de insolvencia de los principales sectores macroeconómicos (sector público, hogares, y bancos), lo que permite realizar una evaluación más precisa y oportuna que la provista por metodologías más convencionales. A nivel de solvencia, el mejor balance patrimonial lo presentan los hogares, siguiéndole en orden los sectores público y financiero. La evolución de los indicadores de riesgo a lo largo del período de estudio (1998-2009) pareciera estar explicada tanto por el entorno macroeconómico, así como por las condiciones específicas de cada sector. El alcance de los resultados está condicionado por las restricciones de información encontradas, en especial, las relacionadas con el valor de mercado del patrimonio de las empresas privadas no financieras y de gran parte del sistema financiero.

Suggested Citation

  • Moreno, María Antonia & Pagliacci, Carolina, 2010. "Análisis de Riesgo Macro-financiero para Venezuela [Macro-financial risk for Venezuela]," MPRA Paper 106552, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:106552
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    File URL: https://mpra.ub.uni-muenchen.de/106552/1/MPRA_paper_106552.pdf
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    References listed on IDEAS

    as
    1. Philip Arestis & Gennaro Zezza (ed.), 2007. "Advances in Monetary Policy and Macroeconomics," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-80076-2.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Carolina Pagliacci & Elizabeth Ochoa, 2007. "Macroeconomic Risk Evaluation of International Reserves in Venezuela," Palgrave Macmillan Books, in: Philip Arestis & Gennaro Zezza (ed.), Advances in Monetary Policy and Macroeconomics, chapter 13, pages 233-256, Palgrave Macmillan.
    4. Mr. Dale F Gray & Mr. James P Walsh, 2008. "Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System," IMF Working Papers 2008/089, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Contingent Claim Analysis (Método de Pasivos Contingentes); Riesgo Crediticio Macroeconómico; Probabilidad de Default;
    All these keywords.

    JEL classification:

    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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