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  • 标题:Metal Prices and International Market Risk in the Peruvian Stock Market
  • 本地全文:下载
  • 作者:Mauricio Zevallos ; Fernanda Villarreal ; Carlos Del Carpio
  • 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
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