Applying cov ar to measure systemic market risk: the colombian case
M Arias, JC Mendoza-Gutiérrez… - … Financiera; No. 47, 2010 - repositorio.banrep.gov.co
M Arias, JC Mendoza-Gutiérrez, D Pérez-Reyna
Temas de Estabilidad Financiera; No. 47, 2010•repositorio.banrep.gov.coIn 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 …
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 …
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
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