Generalizaciones de la metodología VAR para el análisis de riesgos de fondeo líquidez, y margen financiero

Castillo Edgar ()

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 1, 1-8

Abstract: In this paper, we study an extension of value at risk as an alternative to the structural risk management applied to financial institutions, banks particularly. This investigation was aimed to identify, quantify and control risk. We propose to use risk measures over both sides of the balance sheet (assets and liabilities) and over cash flows of a institution. We suggest risk control measures: funding, earnings and liquidity, besides the well-known measure of market value at risk (VaR)

Keywords: Riesgo; Var; MaR; LaR; WaR; Liquidez; Fondeo; Banco; límites (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200801

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