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Type: Artigo
Title: Metal prices and international market risk in the Peruvian stock market
Title Alternative: Precio internacional de los metales y riesgo de mercado en la bolsa de valores de Lima
Author: Zevallos, Mauricio
Villarreal, Fernanda
Del Carpio, Carlos
Abbara, Omar
Abstract: 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.
Subject: Cópulas (Estatística matemática)
Mercado financeiro - Peru
Teoria da estimativa
Copulas (Mathematical statistics)
Money market - Peru
Estimation theory
Country: Peru
Editor: Pontificia Universidad Catolica del Peru
Rights: aberto
Identifier DOI: 10.18800/economia.201701.003
Date Issue: 2017
Appears in Collections:IMECC - Artigos e Outros Documentos

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