文章基本信息

标题：Metal Prices and International Market Risk in the Peruvian Stock Market
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作者：Mauricio Zevallos ; Fernanda Villarreal ; Carlos Del Carpio 等
期刊名称：Economía
印刷版ISSN：0254-4415
电子版ISSN：2304-4306
出版年度：2017
卷号：40
期号：79
页码：87-104
DOI：10.18800/economia.201701.003
出版社：Pontificia Universidad Católica del Perú
摘要：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.
其他摘要：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.
关键词：Commodities; copula; CoVaR; S&P500; VaR
其他关键词：Commodities;copula;CoVaR;S&P500;VaR