Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano

Risk Measures and an Application to the Withdrawals of Deposits in 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: This paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the withdrawals of deposits in the Bolivian financial system. The results suggest that it’s important to consider the statistical assumptions of these measures, in order to avoid underestimate or overestimate the true financial risks.

Keywords: Valor en Riesgo; Riesgo de liquidez; corridas de depósitos (search for similar items in EconPapers)
JEL-codes: C65 G32 (search for similar items in EconPapers)
Date: 2008-09
New Economics Papers: this item is included in nep-rmg
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