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 CoV aR 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. JEL classification numbers: C20, G14, G21.
La participación creciente de las inversiones en el activo del sistema financiero ha generado un mayor interés tanto en la medición como en el manejo del riesgo de mercado (RM) asociado al portafolio del Libro de Tesorería 1 , por parte de las entidades y de los reguladores. Un primer paso en esa dirección lo dio la Superintendencia Bancaria de Colombia 2 (SBC) en enero de 2002, con la implementación de los requerimientos de capital por concepto de RM. Sin embargo, recientemente esta norma ha estado sujeta a un número importante de cuestionamientos relacionados, sobre todo, con la idoneidad de la metodología utilizada para medir y cubrir apropiadamente la exposición.
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