Examinando por Materia "Backtesting"

Mostrando 1 - 6 de 6
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    Ítem
    Análisis del efecto que tiene la selección del modelo de construcción de portafolio óptimo y de valoración en riesgo de mercado en la administración de la riqueza
    (Universidad EAFIT, 2017) Caldas Bechara, Esteban Andrés; Fitzgerald Fernández, Kevin Sledge; Pérez Ramírez, Fredy Ocaris
    As a consequence of the economic development experienced in the last decades, there has been a surplus wealth phenomenon in society, which requires adequate financial planning and efficient management of economic surpluses -- This has led to the theory of the administration of Wealth Management plays a leading role when making investment decisions -- Not knowing this theory can lead an investor to make decisions without fundamentals, which do not lead to the optimum where profit maximizes with the lowest possible risk -- Understanding this, we will explain how the selection between two methods of constructing the optimum portfolio and the calculation of the value at risk, apparently a decision little transcendental or little known for an investor, can directly affect the profitability of a fund because of the respective recomposition of the portfolio that causes each method
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    Publicación
    Aplicación de Backtesting y Stresstesting al modelo actuarial para establecer el valor del contrato en una Institución Prestador de Servicios de Salud (IPS) de Colombia
    (Universidad EAFIT, 2024) Suaza Ramírez, Andrés Geovanny; Gómez Peña, Edwin Andrés; Rojas Ormaza, Brayan Ricardo
    In the Colombian health system, healthcare providers (IPS) are regulated by Supersalud. In 2021, they issued circular 20211700000004-5, instructing the creation of a comprehensive risk management system for IPS. Actuarial risk management is essential for valuing health contracts, as IPS face various risks in their operations. The circular urges IPS to perform stress tests and self-verification on actuarial models used to establish contractual values, adjusting them to mitigate risks. These models determine service premiums, and miscalculation could affect operations, generating budget deficits. Sufficiency studies and risk adjustments from the Ministry of Health will be used to calculate capitation payments in 2023. Stress tests will be applied to contracts, creating a reference for IPS to minimize operational and liquidity risks, complying with Supersalud requirements.
  • No hay miniatura disponible
    Ítem
    Aproximación a la construcción de un portafolio activo de deuda pública colombiana
    (Universidad EAFIT, 2017) Delgado Upegui, Juan Sebastián; Gaviria Benítez, Daniel Esteban; Colorado González, José Adolfo
    Nowadays, the Colombian capital market offers different investment alternatives, such as fixed income, equities, derivatives and structured products -- Among fixed income instruments, local government bonds (TES B) play an important role within the market, due to its traded volumes and the participation of the main agents -- Considering the importance of the local sovereign debt, an active investment portfolio was constructed using TES by assessing its performance versus a benchmark portfolio -- The portfolio was built using historical data, defining fundamental, market variables and its relevance over the portfolio -- Finally, an optimization was done to find the optimum portfolio
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    Ítem
    Impacto en el estado de resultados de una compañía importadora del sector metalmecánico en Colombia ante el uso de diferentes estrategias de cobertura cambiaria
    (Universidad EAFIT, 2023) Botero Gaviria, Andrea; Ossa Salazar, David; Cardona Llano, Juan Felipe
    This study presents a retrospective analysis of the use of different financial derivative products and structures to mitigate exchange rate risk, with the objective of quantifying their impact on the financial results of an importing company in the metal-mechanic sector in Colombia. To this end, real and real and historical data of the exchange rate (USD/COP) are taken for the period between 2019 and 2022. At the same time, the purpose of the research is to expose how to obtain a better performance in the financial results from different financial alternatives, which results in the to improvement of the decision-making of the exchange risk management in a globalized market where there are not only many changes, but also high volatility in the exchange rate. In this order of ideas, the strategies that could have had a better performance are described, their value in the financial management of the company under study is demonstrated, and the conclusions and recommendations for those interested in managing this type of exchange rate risk are presented.
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    Ítem
    Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
    (Elsevier, 2014) B. Del Brio, Esther; Mora-Valencia, Andrés; Perote, Javier; Faculty of Economics and Business, Department of Business, University of Salamanca, Spain; School of Economics and Finance, Department of Finance, EAFIT University, Colombia; Faculty of Economics and Business, Department of Economics, University of Salamanca, Spain; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist few articles specifically devoted to implement new techniques in hedge fund returns VaR forecasting. This article advances in these issues by comparing the performance of risk measures based on parametric distributions (the normal, Student’s t and skewed-t), semi-nonparametric (SNP) methodologies based on Gram–Charlier (GC) series and the extreme value theory (EVT) approach. Our results show that normal-, Student’s t- and Skewed t- based methodologies fail to forecast hedge fund VaR, whilst SNP and EVT approaches accurately success on it. We extend these results to the multivariate framework by providing an explicit formula for the GC copula and its density that encompasses the Gaussian copula and accounts for non-linear dependences. We show that the VaR obtained by the meta GC accurately captures portfolio risk and outperforms regulatory VaR estimates obtained through the meta Gaussian and Student’s tdistributions.
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    Ítem
    VaR performance during the subprime and sovereign debt crises: An application to emerging markets
    (Elsevier, 2014) B. Del Brio, Esther; Mora-Valencia, Andrés; Perote, Javier; aculty of Economics and Business, Department of Business, University of Salamanca, Spain; School of Economics and Finance, Department of Finance, EAFIT University, Colombia; Faculty of Economics and Business, Department of Economics, University of Salamanca, Spain; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    Highly volatile scenarios, such as those provoked by the recent subprime and sovereign debt crises, have questioned the accuracy of current risk forecasting methods. This paper adds fuel to this debate by comparing the performance of alternative specifications for modeling the returns filtered by an ARMA-GARCH: Parametric distributions (Student's t and skewed-t), the extreme value theory (EVT), semi-nonparametric methods based on the Gram–Charlier (GC) expansion and the normal (benchmark). We implement backtesting techniques for the pre-crisis and crisis periods for stock index returns and a hedge fund of emerging markets. Our results show that the Student's t fails to forecast VaR during the crisis, while the EVT and GC accurately capture market risk, the latter representing important savings in terms of efficient regulatory capital provisions.