DOI:https://doi.org/10.3232/GCG.2017.V11.N3.04

EL RIESGO SISTÉMICO: UN ANÁLISIS DE LOS CAMBIOS ESTRUCTURALES EN LOS ÍNDICES ACCIONARIOS SECTORIALES DE BRASIL A TRAVÉS DEL MODELO CoVaR

Anna Paola Fernandez-Freire, Aline Moura-Costa-da-Silva, Otávio Ribeiro-de-Medeiros, Paulo Roberto da-Nóbrega-Cavalcante

Resumen

Este estudio tiene como objetivo identificar la contribución marginal de riesgo de los sectores brasileños al riesgo sistémico, teniendo en cuenta variables relevantes de las economías brasileña y global, por medio de testes de quiebre estructural. Para obtener esto, se utilizó un modelo de gestión de riesgos llamada Valor en Riesgo Condicional (CoVaR). Nuestros principales resultados mostraron que el sector industrial fue el que más contribuye al riesgo sistémico del mercado de valores de Brasil y la financiera la que menos contribuye, reforzando los resultados de estudios empíricos que muestran que el sector financiero no es el único potencialmente capaz de causar crisis sistémicas
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