Metal Prices and International Market Risk in the Peruvian Stock Market

Autor:	Mauricio Zevallos, Fernanda Villarreal, Carlos Del Carpio, Omar Abbara
Jazyk:	English<br />Spanish; Castilian
Rok vydání:	2017
Předmět:	Commodities copula CoVaR S&P500 VaR Economic growth development planning HD72-88 Economic history and conditions HC10-1085 Economics as a science HB71-74
Zdroj:	Economía, Vol 40, Iss 79 (2017)
Druh dokumentu:	article
ISSN:	0254-4415 2304-4306
Popis:	In this paper we use the conditional Value at Risk (CoVaR) and CoVaR variation (ΔCoVaR) 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 ΔCoVaR are useful indicators to measure the Peruvian stock market risk.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/1774ac2ea2714f1fa5d090b9b09035e7 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF