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Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano

Author

Listed:
  • Zevallos, Mauricio

    (Universidade Estadual de Campinas)

  • Villarreal, Fernanda

    (Universidad Nacional del Sur)

  • Del Carpio, Carlos

    (EFL Global)

  • Abbara, Omar

    (Universidade Estadual de Campinas)

Abstract

La crisis financiera internacional evidenció la necesidad de estudiar mejor las medidas de riesgo de mercado y puso en entredicho prácticas de gestión de riesgo basadas en el Valor en Riesgo (VaR). En este sentido, Adrian y Brunnermeier (2008, 2011) propusieron el VaR condicional (CoVaR) como medida de riesgo sistémico. El CoVaRi/j mide el VaR de la institución i dado que la institución j se encuentra en problemas financieros, esto es, cuando la institución j tiene retorno igual a su VaR. Además, para estimar la contribución marginal de la institución j al riesgo de la institución i, Adrian y Brunnermeier (2008, 2011) propusieron la variación CoVaR, denotada por ΔCoVaR, que se define como la diferencia entre el CoVaR medido en situación de estrés financiero y el CoVaR medido en situación normal. En este trabajo se utiliza la metodología CoVaR para estimar el riesgo bursátil peruano (IGBVL) condicional al mercado financiero internacional (S&P500) y condicional a los precios de tres de los principales commodities exportados por el Perú: el cobre, el oro y la plata. Además, los CoVaRs son comparados con el VaR del IGBVL para entender las diferencias al estimar medidas de riesgo condicionales e incondicionales. Los resultados muestran que tanto el CoVaR como el ΔCoVaR son medidas útiles para medir el riesgo de mercado peruano.

Suggested Citation

  • Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2014-023
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    More about this item

    Keywords

    Cópulas; CoVaR; Riesgo sistémico; S&P500; VaR;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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