Market Risk - Financial Stability Special Reports - First Half of 2019
The main purpose of these reports is to monitor the vulnerabilities and risks of the financial system. Opinions and potential errors are the sole responsibility of the authors, and their contents do not compromise the Board of Directors of Banco de la República (the Central Bank of Colombia).
The Financial Stability Special Reports accompany the publication of the Financial Stability Report, providing a more detailed analysis of certain aspects and risks relevant to the stability of the Colombian financial system.
The purpose of this report is to measure the transmission of volatility present among public debt, private debt, and stock markets to identify whether a market was either a generator or a receiver of volatility at a given point in time. Subsequently, the overnight value at risk (VaR) of the portfolio in proprietary position of the three markets is estimated, as well as the effects of a possible market risk event materialization on the balance sheet of the institutions.
2022 - Second Half
2022 - First Half
