Autor(es)

Zevallos, Mauricio ^[1] ; Villarreal, Fernanda ^[2] ; del Carpio, Carlos ^[3] ; Abbara, Omar ^[4]

Afiliação do(s) autor(es)

^[1] Univ Estadual Campinas, Dept Stat, Campinas - Brazil

^[2] Univ Nacl Sur, Dept Math, Bahia Blanca, Buenos Aires - Argentina

^[3] Entrepreneurial Finance Lab, Lima - Peru

^[4] Univ Estadual Campinas, Grad Program Stat, Campinas - Brazil

• Tipo de documento: Artigo Científico
• Fonte: REVISTA ECONOMIA; v. 40, n. 79, p. 87-104, 2017.
• Citações Web of Science: 0

Resumo

In this paper we use the conditional Value at Risk (CoVaR) and CoVaR variation (Delta CoVaR) proposed by Adrian and Brunnermeier (2008, 2011, 2016) to estimate the Peruvian stock market risk (through the IGBVL) conditioned on the international financial market (given that the S\&P500) and conditioned on three of the main commodities exported by Peru: copper, silver and gold. Moreover, the CoVaR measures are compared with the VaR of the IGBVL to understand the differences using conditional and unconditional risk measure estimators. The results show that both CoVaR and Delta CoVaR are useful indicators to measure the Peruvian stock market risk. (AU)

• Processo FAPESP: 13/00506-1 - Séries Temporais, Ondaletas e Análise de Dados Funcionais
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático