Examinando por Autor "Pantoja Robayo, Javier Orlando"
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Ítem Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter(Elsevier, 2014) Maldonado Castaño, Rogelio; Zapata Rueda, Natalia; Pantoja Robayo, Javier Orlando; Universidad de Medellin, Universidad EAFIT; Professor of the Economics and Finance School at Universidad EAFIT; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaThe official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future.Ítem Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos(Universidad EAFIT, 2012-11-11) Trespalacios Carrasquill, Alfredo; Rendón García, Juan Fernando; Pantoja Robayo, Javier OrlandoEn este trabajo se analiza el efecto que tienen las restricciones de VaR sobre la selecci on de la cantidad de contratos forward en un mercado el ectrico y el momento en que se debe realizar la operaci on de cobertu- ra cuando un agente busca maximizar el valor esperado de su bene cio ajustado por riesgo y enfrenta incertidumbre por volumen. Se asume un mercado el ectrico cuyo precio spot presenta caracter sticas de estacionali- dad y reversi on a la media y que el precio de los contratos forward exhibe una prima de riesgo (Forward Risk Premium).Ítem Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman(Universidad EAFIT, 2012-09-22) Maldonado Castaño, Rogelio; Zapata Rueda, Natalia; Pantoja Robayo, Javier OrlandoIn Colombia the o ficial estimation for the term structure model is given by [6] development which is widely accepted and used. This estimation is based on the curve tting with available data, only for one day ahead, making di cult to estimate the future zero-coupon curve. Taking into account the importance of having an estimation of the term structure for the valuation of nancial assets in the Colombian market, this research proposes a methodology to estimate in dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by [3], which determines the shape of the term structure through latent factors level, slope and curvature. This paper proposes dynamic estimation of the term structure of interest rate using a Kalman fi lter methodology throughout the state - space framework. Results show us that predicts are successful for more than one period in the future.Ítem Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos(Universidad EAFIT, 2012-11-06) Trespalacios Carrasquilla, Alfredo; Rendón García, Juan Fernando; Pantoja Robayo, Javier OrlandoQuienes transan electricidad en los mercados liberalizados, est an ex- puestos a riesgos que requieren un an alisis y tratamiento diferente al de otro tipo de commodities. La din amica del precio spot, unida a la necesi- dad de completar el mercado cubriendo la exposici on al riesgo de volumen, son entre otras las caracter sticas que hacen a este mercado diferente y complejo. Nuestro trabajo presenta un esquema de cobertura est atica que puede implementar un agente que busca maximizar el valor esperado de su bene cio ajustado por riesgo y enfrenta incertidumbre por volumen. El agente participa en un mercado el ectrico cuyo precio spot presenta carac- ter sticas de estacionalidad y reversi on a la media. Asumimos como unica herramienta de cobertura disponible los contratos forward que incorporan una prima de riesgo. Como caso de estudio se presenta el mercado el ectrico colombiano. Se realiza un desarrollo te orico utilizando c alculo estoc astico y simulaci on de Montecarlo. Encontramos que cuando hay presencia de la prima de riesgo forward, el precio del contrato tendr a un drift, en cuyo caso el nivel de cobertura de un agente depender a de su nivel de aver- si on al riesgo, la volatilidad del volumen esperado, la prima de riesgo de largo plazo del mercado y la correlaci on esperada entre volumen y precio forward.Ítem Evaluación de los márgenes requeridos en un mercado de derivados de energía eléctrica(Universidad EAFIT, 2013-07) Maradey Angarita, Kelly; Pantoja Robayo, Javier Orlando; Trespalacios Carrasquilla, Alfredo; kellymaradey@gmail.com; jpantoja@eafit.edu.co; atrespal@eafit.edu.coLos mercados de contratos futuros tienen como fortaleza la eliminación del riesgo de contraparte, para esto es importante el nivel de garantías que las cámaras de riesgo exigen a los participantes del mercado -- Estas garantías deben cubrir las variaciones extremas del precio del producto, pero no deben ser excesivas porque reducen la cantidad de eventuales participantes en el mercado -- En este trabajo se propone una metodología alternativa para la estimación de las garantías del mercado de futuros en energía eléctrica, como caso de estudio se presenta el mercado colombiano -- Se realiza simulación de Montecarlo para evaluar las variaciones diarias que puede tener el precio de los futuros y se estiman medidas de riesgo con diferentes escenarios de Niño, días de tenencia y vencimientos -- Se encuentra que la nueva metodología propuesta modifica sustancialmente los niveles de garantía, frente a la metodología actual de cálculo, adicionalmente, se enuncian los factores que alteran su definiciónÍtem Three essays on risk management in electric power markets(Universidad EAFIT, 2011) Pantoja Robayo, Javier OrlandoThis dissertation has arisen in the context of the electric power markets, the study of risk management and the relations between physical production and the electricity transactions using financial contracts in particular. Electricity is very difficult to compare with any other commodity, since it has a peculiar characteristic; electricity “must be produced at exactly the same time as it is consumed”. The technological inability to store electricity efficiently and the characteristics of marginal production costs create jumps in the spot price. The electricity power market is heavily incomplete. Load-matching problems occur because electricity prices show volatility because of unexpected variations due to climatic conditions and other associated risk factors. A branch of the literature in risk management has tried to give a definitive answer to the question of how agents in the markets with non-storable underlying asset could hedge their exposure to volatile price and quantity. The first essay tackles the basis of this question, which is the implication of the price of risk when forward risk premia are presented. This essay also shows how the properties and variations of forward risk premia is explained by risk factors variations on expected spot prices, and unexpected changes on the available quantity of water to generate electric power. Forward risk premia are the measure, hour by hour throughout the day, of the price of risk that the agents pay to trade electric power using forward contracts. In this essay forward premia were measured from the unregulated market segment. The results indicate that the average expected forward risk premia could have a positive behavior in seventeen out of twenty-four hours. These results represent the equilibrium compensation for bearing the price risk of the electric power for one year. In the Colombian market, the risk taker is the marketer, specifically in the unregulated market segment, because they are assuming the price risk in the long-term negotiations. The marketer, represented by this demand, tries to ensure their future Profit and Losses P&L and so they sacrifice their premia. It is relevant for further studies to evaluate the efficiency of this market, and the characteristics to determine why the marketer is willing to pay forward risk premia and why the generator has a better position to receive this bonus. Exploring the optimization problem of portfolios my second essay asks whether the agents in the electric power market could hedge their exposure to uncertainties; price and quantity. We propose a close form solution for the optimization problem of portfolios composed by two claims, price and weather, according to factors influencing electric power markets such as price volatility, price spikes, and climatic conditions that influence volume volatility. Results show a positive correlation among price, quantity, and the weather variable. In order to apply the optimal static hedging that includes the second claim on weather indexes for seasonal countries such as United States and tropical countries such as Colombia, the third essay shows an application of the static hedging model, using parameters from US market(PJM), and Colombian market (WPMC2). For the PJM, I used weather indexes from Chicago Mercantile Exchange Group, and the hydrological index from WPMC which is based on the hydrological contributions of rivers on dam levels. We verify that El Niño and La Niña phenomena also influence quantity variations, and the agents in those markets are exposed to both price and quantity volatiles.