MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS

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Financial market and, particularly, banking, is an organizational environment where their productive activities impact on the real economy. Crises, as anomalies of these interactions (Caruana, 2008) show the continuous tension experienced by theory and practice of risk management. This work exposes...

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Autores principales: Masci, Martín Ezequiel, Dufour, Leonardo Andrés
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) 2018
Acceso en línea:https://ojs.economicas.uba.ar/RIMF/article/view/1418
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1418_oai
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
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spelling I28-R145-1418_oai2025-02-11 Masci, Martín Ezequiel Dufour, Leonardo Andrés 2018-07-30 Financial market and, particularly, banking, is an organizational environment where their productive activities impact on the real economy. Crises, as anomalies of these interactions (Caruana, 2008) show the continuous tension experienced by theory and practice of risk management. This work exposes the different methodologies, which appear in traditional literature (VaR, EVT and CVaR), for risk management measurement in banking organizations, where context is uncertain. After the theoretical framework developed, these measures will be tested empirically, using soybeans international price public data. In this way, it will be possible to highlight the importance of experts opinion in order to achieve a correct risk management. El mercado financiero en general y el bancario, en particular, es un ámbito organizacional donde se desarrollan actividades productivas que impactan en la economía real. Las crisis, como anomalías de estas interacciones (Caruana, 2008), muestran la continua tensión que experimenta la teoría y práctica de la gestión de los riesgos. El presente trabajo expone las distintas metodologías presentes en la literatura tradicional (VaR, EVT y CVaR), para la medición del riesgo de mercado en organizaciones bancarias, donde el contexto es incierto. Luego del marco teórico desarrollado, se contrastarán empíricamente dichas medidas, utilizando datos públicos del precio internacional de la soja. De esta manera, se podrá destacar la importancia de la opinión de los expertos con el fin de lograr una correcta gestión de los riesgos. application/pdf https://ojs.economicas.uba.ar/RIMF/article/view/1418 spa Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) https://ojs.economicas.uba.ar/RIMF/article/view/1418/2039 Revista de Investigación en Modelos Financieros; Vol. 1 (2018): Revista de Investigación en Modelos Financieros; 87-108 2250-6861 2250-687X MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS GESTIÓN DEL RIESGO DE MERCADO EN ORGANIZACIONES BANCARIAS info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1418_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
description Financial market and, particularly, banking, is an organizational environment where their productive activities impact on the real economy. Crises, as anomalies of these interactions (Caruana, 2008) show the continuous tension experienced by theory and practice of risk management. This work exposes the different methodologies, which appear in traditional literature (VaR, EVT and CVaR), for risk management measurement in banking organizations, where context is uncertain. After the theoretical framework developed, these measures will be tested empirically, using soybeans international price public data. In this way, it will be possible to highlight the importance of experts opinion in order to achieve a correct risk management.
format Artículo
publishedVersion
author Masci, Martín Ezequiel
Dufour, Leonardo Andrés
spellingShingle Masci, Martín Ezequiel
Dufour, Leonardo Andrés
MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
author_facet Masci, Martín Ezequiel
Dufour, Leonardo Andrés
author_sort Masci, Martín Ezequiel
title MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
title_short MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
title_full MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
title_fullStr MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
title_full_unstemmed MARKET RISK MANAGEMENT IN BANKING ORGANIZATIONS
title_sort market risk management in banking organizations
publisher Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
publishDate 2018
url https://ojs.economicas.uba.ar/RIMF/article/view/1418
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1418_oai
work_keys_str_mv AT mascimartinezequiel marketriskmanagementinbankingorganizations
AT dufourleonardoandres marketriskmanagementinbankingorganizations
AT mascimartinezequiel gestiondelriesgodemercadoenorganizacionesbancarias
AT dufourleonardoandres gestiondelriesgodemercadoenorganizacionesbancarias
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