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

Translated title of the contribution: Bayesian estimation of the value of risk: An application for the Colombian securities market

Charle Augusto Londoño, Juan Carlos Correa, Mauricio Lopera

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

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

Translated title of the contributionBayesian estimation of the value of risk: An application for the Colombian securities market
Original languageSpanish
Pages (from-to)635-678
Number of pages44
JournalCuadernos de Economia (Colombia)
Volume33
Issue number63
DOIs
Publication statusPublished - 2014
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Arts and Humanities (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics, Econometrics and Finance(all)

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