La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano

Gonzales-Martínez, Rolando (2009): La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano.

Abstract

Time series of obligations with the public are important to liquidity risk management in emerging economies, but a traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical distribution of the data and not necessarily to the Gaussian distribution.

• Item Type: MPRA Paper
• English Title: Liquidity Risk Management in Emerging Economies: A Parametric Value-at-Risk (VaR) model with Indirect Calibration and an Application to the Bolivian Financial System
• Language: Spanish
• Keywords: Valor-en-Riesgo; Value-at-Risk; riesgo de liquidez; VaR; medición de riesgos; medidas de riesgo
• Subjects: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C40 - General; 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 > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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