Applying CoVaR to Measure Systemic Market Risk: the Colombian Case

Resumen

  • 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.

fecha de publicación

  • 2011

Página inicial

  • 351
  • 364

Volumen

  • 34