Estimación bayesiana del valor en riesgo: una aplicación para el mercado de valores colombiano

• Autores: Charle Augusto Londoño Henao, Juan Carlos Correa Morales , Mauricio Lopera Castaño
• Localización: Cuadernos de economía ( Santafé de Bogotá ), ISSN 0121-4772, Vol. 33, Nº. 63, 2014, págs. 635-678
• Idioma: español
• DOI: 10.15446/cuad.econ.v33n63.45351
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• Dialnet Métricas: 3 Citas
• Resumen
  • español

    Esta investigación tiene como propósito implementar la metodología de regresión cuantil bayesiana en el cálculo del valor en riesgo (VaR, en inglés) en el mercado de valores colombiano. Para este objetivo se valoran algunos requerimientos regulatorios sobre riesgo de mercado definidos por la Superintendencia Financiera de Colombia sobre metodologías, medidas de desempeño y factores de riesgo para el cálculo del VaR, y se compara con el modelo APARCH y de regresión cuantil tradicional;

    se halla que la regresión cuantil tiene una mejor capacidad para adaptarse a los patrones exhibidos por un portafolio de acciones colombianas dadas varias medidas de desempeño

  • English

    The purpose of this research is to implement the Bayesian quantile regression methodology in the estimation of the Value at Risk (VaR), in the Colombian stock market. For this objective, some regulatory requirements on market risk are compared using the APARCH model, and traditional quantile regressions. Colombia�s Financial Superintendence defines these requirements based on where they address methodologies, performance measures, and risk factors relevant to the calculation of the VaR. We found out that the latter technique has a greater capacity to adapt to the patterns exhibited by a portfolio of Colombian stock given several performance measures.

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