Evolución de la medición del riesgo financiero en los últimos 40 años: una panorámica con especial mención en la banca

María Coronado Vaca, Susana Carabias López

Resumen


El objetivo de este artículo es ofrecer una panorámica de la evolución de la medición y gestión del riesgo financiero en los últimos 40 años, con especial mención a la banca. Tras una etapa basada en los principios de la Modern Portfolio Theory (MPT), hace 25 años se produce una revolución con la introducción del Value-at-Risk (VaR). Desde entonces, la introducción de nuevas medidas cuantitativas, con complejidad matemática creciente, no se ha detenido, en una interacción continua entre académicos, profesionales y reguladores, como respuesta a las sucesivas crisis financieras y bancarias. Entre ellas, destacan las medidas coherentes del riesgo (concretamente el Expected Shortfall), espectrales y basadas en expectiles. Se concluye que el VaR y el Expected Shortfall (ES) continúan siendo, a pesar de sus limitaciones, las dos medidas más utilizadas tanto desde el punto de vista interno de los bancos, como por parte del regulador y supervisor de su solvencia. Finalmente, se plantean algunas de las líneas de investigación en este campo que tratan de abordar los retos en el futuro de la medición del riesgo financiero en banca.

Palabras clave


Value-at-Risk (VaR); Expected Shortfall (Tail VaR); medidas coherentes del riesgo; medidas espectrales del riesgo; expectiles; Comité de Basilea de Supervisión Bancaria

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