El Var historico

una propuesta metodologica parra la medicion de perdidas esperadas en pesos de deudores hipotecarios con creditos en Unidades de Valor Real (UVR)

Translated title of the contribution: Historical VaR: a methodological approach for measuring expected losses in pesos in the Colombian indexed inflation mortgage market

Edgardo Cayón Fallón, Julio Sarmiento Sabogal

Research output: Contribution to journalArticle

Abstract

Historical VaR: a methodological approach for measuring expected losses in pesos in the Colombian indexed inflation mortgage market. The objective of this proposal is to provide useful information to the clients of the Colombian mortgage market from the perspective of financial risk. This is done for the purpose of giving the client a complete understanding of the implied financial risks in inflation adjusted mortgages. Our proposal suggests that it is possible to measure and quantify the risk incurred by the users of the Colombian mortgage market based on historical VaR.
Original languageSpanish
Pages (from-to)101-114
Number of pages14
JournalEstudios gerenciales
Volume26
Issue number116
DOIs
Publication statusPublished - 2010

Keywords

  • Finance
  • UVR
  • risk
  • mortgage

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