La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano

Liquidity Risk Management in Emerging Economies: A Parametric Value-at-Risk (VaR) model with Indirect Calibration and an Application to the Bolivian Financial System

Rolando Gonzales-Martínez
Authors registered in the RePEc Author Service: Rolando Gonzales Martínez

MPRA Paper from University Library of Munich, Germany

Abstract: Time series of obligations with the public are important to liquidity risk management in emerging economies, but a traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian) distribution. To overcome this flaw of parametric gaussian VaR models, this study suggest a parametric VaR model with indirect calibration (VaR-i) with a beta-parameter calibrated to be successful in backtesting tests, according to the empirical distribution of the data and not necessarily to the Gaussian distribution.

Keywords: Valor-en-Riesgo; Value-at-Risk; riesgo de liquidez; VaR; medición de riesgos; medidas de riesgo (search for similar items in EconPapers)
JEL-codes: C40 G21 G32 (search for similar items in EconPapers)
Date: 2009-01
New Economics Papers: this item is included in nep-rmg
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