Publicado

2014-07-01

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

Bayesian estimation of the value of risk: an application for the colombian securities market

Estimação bayesiana do valor em risco: uma aplicação para o mercado de valores colombiano

Palabras clave:

Valor en riesgo condicional autorregresivo, regresión cuantil, estadística bayesiana, variables macroeconómicas y financieras, regulación bancaria, mercado de valores (es)
Conditional autoregressive Value at Risk, regression quantile, Bayesian statistics, macroeconomics and financial variable, banking regulation, financial market (en)
Valor em risco condicional autorregressivo, regressão quantílica, estatística bayesiana, variáveis macroeconômicas e financeiras, regulação bancária, mercado de valores (pt)

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Autores/as

  • Charle Augusto Londoño Departamento Administrativo de Planeación de la Alcaldía de Medellín
  • Juan Carlos Correa Universidad Nacional de Colombia - Sede Medellín
  • Mauricio Lopera Universidad de Antioquia

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.

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. These requirements are defined by the Colombia's Financial Superintendence where they address methodologies, performance measures and risk factors relevant to the calculation of the VaR. We found out that the later technique has a greater capacity to adapt to the patterns exhibited by a portfolio of Colombian stock given several performance measures.

Este artigo tem a finalidade de implementar a metodologia de regressão quantílica bayesiana no cálculo do valor em risco (VaR, em inglês) no mercado de valores colombiano. Para isto, são avaliados alguns requerimentos regulatórios sobre risco de mercado definidos pela Superintendência Financeira da Colômbia sobre metodologias, medidas de desempenho e fatores de risco para o cálculo do VaR, e compara-se com o modelo APARCH e de regressão quantílica tradicional; vê-se que a regressão quantílica tem mais capacidade de adaptação aos padrões exibidos por um portfólio de ações colombianas, dadas várias medidas de desempenho.

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Citas

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