IIESS 23418
INSTITUTO DE INVESTIGACIONES ECONOMICAS Y SOCIALES DEL SUR
Unidad Ejecutora - UE
artículos
Título:
Metal Prices and International Market Risk in the Peruvian Stock Market
Autor/es:
FERNANDA VILLARREAL; CARLOS DEL CARPIO; MAURICIO ZEVALLOS; OMAR ABBARA
Revista:
ECONOMIA
Editorial:
Pontificia Universidad Católica del Perú
Referencias:
Lugar: Lima; Año: 2017 vol. 40
ISSN:
0254-4415
Resumen:
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.
