Medidas de riesgo financiero usando copulas: teoría y aplicaciones

Becerra, Óscar Alfredo Díaz; Melo‐Velandia, Luis Fernando

doi:10.32468/be.489

Cited by 10 publications

(11 citation statements)

References 32 publications

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“…Two special PCCs of f (x 1 ,…, x d ) 2. A detailed revision of copulas can be found in the studies by Nelsen (2006), Joe (1997), Becerra and Melo (2008), among others. are C-Vine and D-Vine, whose densities are as follows:…”

Section: B Pair-copula Decompositionmentioning

confidence: 99%

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Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

Maya

Gómez

Velandia

2014

Contemporary Economic Policy

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This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients, following Fratzscher's (1999) definition of contagion as interdependence. Our results indicate that these countries are divided into two blocks. The first block consists of Brazil, Colombia, Chile, and Mexico, whose exchange rates exhibit the largest dependence coefficients, and the second block consists of Argentina and Peru, whose exchange rate dependence coefficients with other Latin American countries are low. We also found that most of the Latin American exchange rate pairs exhibit asymmetric behaviors characterized by nonsignificant upper tail dependence and significant lower tail dependence. These results imply that there exists contagion in Latin American exchange rates in periods of large appreciations, whereas there is no evidence of contagion during periods of currency depreciation. This empirical regularity may reflect the “fear of appreciation” in emerging economies identified by Levy‐Yeyati, Sturzenegger, and Gluzmann (2013). (JEL C32, C51, E42)

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Section: B Pair-copula Decompositionmentioning

confidence: 99%

“…A detailed revision of copulas can be found in the studies by Nelsen (), Joe (), Becerra and Melo (), among others.…”

mentioning

confidence: 99%

Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

Maya

Gómez

Velandia

2014

Contemporary Economic Policy

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“…Consequently, he suggests the use of a semi-parametric approach involving Extreme-Value Theory (EVT). Under this method, one uses standard nonparametric techniques to estimate the center of the distribution whilst parametric techniques are used to estimate the polynomial decay of the density in the tails (see Zivot & Wang (2006) and Becerra & Melo (2008)).…”

Section: Fitting Extreme-value Distributionsmentioning

confidence: 99%

Measuring systemic risk in the Colombian financial system : a systemic contingent claims approach

Laverde¹,

Gómez-González²,

Morales-Mosquera³

2011

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The financial crisis of the late 2000's underscored the importance of identifying systemically significant institutions and developing mechanisms for the latter to internalize the externalities they create on the economy should they fail. Using monthly data for the period comprised between September, 2001 -March, 2011, we calculated bank-specific probabilities of default and expected losses given default. Subsequently, we estimated the joint distribution of such expected losses and found the aggregate cost of the implicit bailout option for the government. Our results suggest that even though systemic risk is currently not a major concern in the Colombian banking system, it is necessary to enhance the supervisory and regulatory framework to include quantitative measures of this risk.JEL classification: G120, G130, G180, G210, G280

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“…A detailed revision of copulas can be found inNelsen (2006),Joe (1997),Becerra and Melo (2008), among others.…”

mentioning

confidence: 99%

Exchange rates contagion in Latin America

Maya¹,

Gómez-González²,

Melo‐Velandia³

2014

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A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.

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Medidas de riesgo financiero usando copulas: teoría y aplicaciones

Cited by 10 publications

References 32 publications

Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach

Measuring systemic risk in the Colombian financial system : a systemic contingent claims approach

Exchange rates contagion in Latin America

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