Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano

Gonzales-Martínez, Rolando (2008): Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano.

Abstract

This paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the withdrawals of deposits in the Bolivian financial system. The results suggest that it’s important to consider the statistical assumptions of these measures, in order to avoid underestimate or overestimate the true financial risks.

• Item Type: MPRA Paper
• English Title: Risk Measures and an Application to the Withdrawals of Deposits in the Bolivian Financial System
• Language: Spanish
• Keywords: Valor en Riesgo; Riesgo de liquidez; corridas de depósitos
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65 - Miscellaneous Mathematical Tools; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

References

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