Applying CoV aR to measure systemic market risk : the colombian case

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 regression...

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Detalles Bibliográficos
Autores Principales: Arias, Mauricio, Mendoza-Gutiérrez, Juan Carlos, Perez-Reyna, David
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Banco de la República de Colombia 2010
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