HISTORICAL VAR: A METHODOLOGICAL APPROACH FOR MEASURING EXPECTED LOSSES IN PESOS IN THE COLOMBIAN INDEXED INFLATION MORTGAGE MARKET (Article published in Spanish)
DOI:
https://doi.org/10.1016/S0123-5923(10)70125-XKeywords:
Finance, UVR, risk, mortgageAbstract
The objective of the present proposal is to provide, from the perspective of financial risk, useful information to the clients of the Colombian mortgage market. This is done with the purpose of giving the client a complete understanding of the implied financial risks in inflation adjusted mortgages. Our proposal is that by using historical VaR it is possible to measure and quantify the risk incurred by the users of the Colombian mortgage market.
Downloads
References
Alexander, C. (2002). Market Models: A Guide to Financial Data Analysis. Chichester, UK: John Wiley & Sons.
Ball, L. y Gregory, M.N. (1995). Relative Price Cahnges as Aggregate Supply Shocks. Quaterly Journal of Economics, 110(1), 161-193.
Brooks, C. y Persand, G. (2000). The pitfalls of VaR estimates. RISK, 13(5) 63-66.
Chong, J. (2004). Value at risk from econometric models and implied form of currency options. Journal of Forecasting, 23(8), 603-620.
Departamento Nacional de Planeación -DNP-. (1999). Documento Compes 3066. Bogotá: Ministerio de Hacienda y Crédito Público.
Engle, R. y Bollerslev, T. (1986). Modeling the persistence of Conditional Variances. Econometric reviews, 5(1), 1-50.
Galindo, A. y Lora, E. (2005). Desencadenar el crédito: Cómo ampliar y estabilizar la banca. Washington, DC: BID.
Gençay, R. y Selçuk, F. (2004). Extreme value theory and Value at Risk relative performance in emerging markets. International Journal of Forecasting, 20(2), 287-303.
Jaramillo, C. F. (1998). Improving the Measurement of Core Inflation in Colombia Using Asymmetric Trimmed Means. Bogotá: Banco de la República.
Ley de Vivienda No. 546 del Congreso de la República de Colombia (1999).
Minzon, E.A. (1990). The Distribution of Consumer Price Changes in the UK. Economica, 57(226), 249-62.
Rae, D. (1993). Are retailers normal? The Distribution of Consumer Price Changes in New Zeland. Auckland: Reserve Bank of New Zeland.
Richardson, M. y Smith, T. (1993). A Test of Multivariate Normality in Stock Returns. Journal of Business, 66(2), 295-321.
RiskmetricsGroup. (1996). Risk metrics - Technical Document. New York, NY: JP Morgan/Reuters.
Romero, O. (2003). Banca Hipotecaria en Colombia: Los aportes de la crisis reciente. Bogotá: Superintendencia Bancaria.
Yong, B., Tae-Hwy, L. y Burak, S. (2006). Evaluating predictive performance of value-at-risk models in emerging markets: Areality check. Journal of Forecasting, 25(2), 101-128.
Downloads
Published
Issue
Section
License
Articles are the sole responsibility of their authors, and will not compromise Icesi’s University principles or policies nor those of the Editorial Board of the journal Estudios Gerenciales. Authors authorize and accept the transfer of all rights to the journal, both for its print and electronic publication. After an article is published, it may be reproduced without previous permission of the author or the journal but the author(s), year, title, volume, number and range of pages of the publication must be mentioned. In addition, Estudios Gerenciales must be mentioned as the source (please, refrain from using Revista Estudios Gerenciales).
How to Cite
