Rescate y costos del riesgo financiero

Estrada, Fernando (2014): Rescate y costos del riesgo financiero.

Abstract

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we accept-so conservatively that the risk exposure of a company is limited by its capital, while -ocasionales- external losses may adversely affect the general public, have placed to explain how and why the big break companies; or better understand why the big break also. In particular, considering the conditions to contain the risk foreseeable losses with positive externalities, then, what can happen with negative derivatives risk capital. Following Taleb / Tapiero, hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how failures occur in markets for the case of large firms, corporations or companies, and what are the criteria for regulation and rescue available to governments, institutions and citizens to control them.

• Item Type: MPRA Paper
• English Title: Rescue costs and financial risk
• Language: Spanish
• Keywords: Financial markets, Risk, externalities, Colombia, Interbolsa
• Subjects: G - Financial Economics > G0 - General > G00 - General; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill; G - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy ; Liquidation; G - Financial Economics > G3 - Corporate Finance and Governance > G38 - Government Policy and Regulation

References

Aleksiejuk, A., J.A.Holyst. A simple model of bank bankruptcies; Physica A, 299, 2001, 198-204.

Amaral, S.V. Bulkdyrev, S.V. Havlin, H. Leschron, P. Mass, M.A. Salinger, H.E. Stanley, M.H.R. Stanley, L.A.N, J. Phys I, France, 1997, 621.

Bouchaud, J.P., M. Potters, Theory of Financial Risks and Derivatives Pricing, From Statistical Physics to Risk Management, 2nd Ed., 2003, Cambridge University Press.

Estrada, Fernando, Size and Risk in Financial Markets (Tamaño y Riesgo en los Mercados Financieros), 2009. Available at RePEc / IDEAS, http://mpra.ub.uni-muenchen.de/19267/

Estrada, Fernando, Asymmetric Information and Financial Markets, 2012. Available in RePEc/IDEAS http://mpra.ub.uni-muenchen.de/39025/

Fujiwara, Y., Zipf law in firms bankruptcy, Physica A, 337, 2004, 219-230.

Garlaschelli, D., S. Battiston, M. Castri, VDP Servedio, G.Caldarelli, The scale free nature of market investment network, Physica A, 350, 2005, 491-499. Ijiri, Y., H.A. Simon, Skew distributions and the size of business firms, North Holland, New York, 1977.

Konstantin Kogan and Charles S. Tapiero, Supply Chain Games: Operations Management and Risk Valuation, Springer Verlag, Series in Operations Research and Management Science, (Frederick Hillier Editor), 2007.

Okuyama, K., M. Takayasu, H. Takayasu, Zipf’ss Law in income distribution of companies, Physica A, 269, 1999, 125-131

Pareto, V., Le cours d’Economie Politique. Macmillan, London.

Stanley, M.H.R., L.A.N. Amaral, S.V. Bulkdyrev, S.V. Havlin, H. Leschron, P. Mass, M.A. Salinger, H.E. Stanley, Nature, 397, 1996, 804.

Saito, Y.U., T. Watanabe and M. Iwamura, Do larger firms have more interfirm relationships, Physica A, 383, 2007, 158-163,

Stauffer, D., Introduction to Percolation Theory, Taylor and Francis, London and Philadelphia, A, 1985.

Taleb, N.N.,The Black Swan: The Impact of the Highly Improbable, Random House, New York and Penguin Books, London 2008.

Taleb, N. N. and Tapiero, C. S., The Risk Externalities of Too Big to Fail (November 1, 2009). Physica A: Statistical Mechanics and its Applications 389 (17), 3503-3507.

Tapiero, C.S., Consumers risk and quality control in a collaborative supply chain, European Journal of Operations Research, 182, 683–694, 2007.

Tapiero, C. S., Risk Finance and Asset Pricing: Value, Measurements, and Markets, Wiley Finance, 2010.