Metal Prices and International Market Risk in the Peruvian Stock Market

  • Mauricio Zevallos University of Campinas
    Department of Statistics, University of Campinas, Brazil. Corresponding author.
  • Fernanda Villarreal Universidad Nacional del Sur
    Department of Mathematics, Universidad Nacional del Sur. Argentina.
  • Carlos Del Carpio Entrepreneurial Finance Lab.
    Entrepreneurial Finance Lab, Lima, Perú.
  • Omar Abbara University of Campinas
    Graduate Program of Statistics, University of Campinas, Brazil.
DOI: https://doi.org/10.18800/economia.201701.003
Keywords: Commodities, copula, CoVaR, S&P500, VaR

Abstract

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.

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How to Cite
Zevallos, M., Villarreal, F., Del Carpio, C., & Abbara, O. (2017). Metal Prices and International Market Risk in the Peruvian Stock Market. Economia, 40(79), 87-104. https://doi.org/10.18800/economia.201701.003

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