Análisis comparativo de técnicas (IMA) para determinar capitales mínimos regulados por Basilea, ante crisis en mercados emergentes

Víctor Adrián Álvarez, Adrián Fernando Rossignolo

Resumen


Una alternativa sugerida por normas de Basilea para estimar el Valor en Riesgo (VaR) como medida del riesgo de mercado es el método de modelos internos (IMA), que permite a las instituciones reguladas calcularlo utilizando metodologías propias, resultando que desarrollar técnicas precisas para estimar el VaR adquiere especial relevancia. Un método de estimación de cuantiles extremos, que considera circunstancias extraordinarias e inusuales, utiliza la Teoría de Valores Extremos (EVT). Este trabajo intenta evaluar empíricamente, en escenarios de crisis financieras, la aptitud del método EVT, comparándolo con otros métodos de estimación del VaR y estudiando su aplicabilidad en mercados desarrollados y emergentes. Se concluye que los métodos basados en EVT pueden ayudar a las instituciones a evitar grandes pérdidas ante desastres del mercado. La constitución del “Capital Mínimo Regulatorio” exigido por las normas de Basilea ilustra las ventajas del EVT. Aparte, no se aprecian diferencias significativas entre mercados desarrollados y emergentes.


Palabras clave


Valor en Riesgo; Teoría de Valores Extremos; GARCH; simulación histórica; crisis financiera.

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Referencias


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