Applying CoV aR to Measure Systemic Market Risk: The Colombian Case

Serie

• Temas de estabilidad financiera

Resumen

• In Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the risk codependence among agents has not been analyzed yet from the perspective of this risk. Therefore, this paper presents an approach to estimate such relevance based on CoVaR and quantile regressions. This methodology is flexible enough to allow the estimation of the systemic market risk contribution of banks, pension funds, and between different types of financial institutions. Results suggest that risk codependence among entities increases during distress periods.

autores

• Arias, Mauricio
• Mendoza, Juan Carlos
• Pérez-Reyna, David

fecha de publicación

• 2010-03

Área temática

• C20 - Modelos uniecuacionales; variables simples: Generalidades
• G14 - Información y eficiencia del mercado; Estudios de casos; tráfico de información privilegiada
• G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• CoVaR
• Quantile Regression
• Systemic Market Risk
• Value at Risk

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/tef.47

Issue

• 47