Value at Risk and Expected Shortfall Performance Versus Currents Regulation Applied to Colombian Exchange Rate Futures Market

Abstract

In this paper we propose a Value at Risk (VaR) and Expected Shortfall (ES) with normal and t-student distribution to estimate the daily market risk in the Colombian futures market Exchange rate with US dollar, the current regulation by the (CRCC) Colombian Central Counterparty Clearing House establish a constant 7% of guarantee to mitigate the counterparty risk, we found in the backtestings that the current method does not capture the current volatility and the leptokurtosis of the gain/loss distribution which conducts in a overestimation of risk, maybe that moves away the market from efficiency according to classical economy statements, we suggest that this is one reason for the lack of development of the Colombian Exchange future market.