Examinando por Materia "COBERTURAS"

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    Ítem
    Evaluación de la eficacia de coberturas con forward peso-dólar bajo NIIF
    (Universidad EAFIT, 2017) Garcés Pérez, Jhon Edwin; Ágreda Moreno, Enrique Jorge; Trespalacios Carrasquilla, Alfredo
    The purpose of this work is to present a simplified approach of evaluating the efficacy of the coverage for a net investment in foreign currency within the hedging accounting with a derivative financial instrument, a Forward. A bibliographic review of the documents related with financial risk and derivative is performed -- The financial information and International Financial Reporting Standards (IFRS) are addressed -- This work continues with an application case where the financial income/expenses and the exchange rate difference are separated -- Further, the efficacy of the hedge is evaluated through the simple Dollar-Offset method, getting as result a perfect adjustment when the coverages have identical parameters to the item hedged -- The conclusion is that this procedure contributes to the representation and comparability of the financial information, improving the relationship cost/benefit for the preparation of financial statements
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    Ítem
    Herramienta para el desarrollo del mercado de futuros de renta fija en Colombia a través de coberturas
    (Universidad EAFIT, 2016) Campillo Hernández, Luz Stella; Gutiérrez Guzmán, Fabián; Torres Oke, Sebastián
    El mercado de derivados es un determinante del desarrollo y madurez de los mercados de capitales en el mundo -- Aunque muchos asocian la palabra “derivados” con alto riesgo, la realidad es que estos pueden ser utilizados como herramienta de cobertura, especulación y arbitraje, por lo que se puede decir que estos, en especial los derivados estandarizados, juegan un papel importante dentro de la gestión de riesgos de los portafolios de inversión -- De ahí la importancia de brindarles a los agentes una herramienta por medio de la cual conozcan sus ventajas y utilidad en especial para el mercado de TES tasa fija en Colombia, el cual ha venido funcionando desde el año 2008 con un crecimiento lento, baja liquidez y profundidad, lo que ha generado poco interés por parte de los agentes debido a varios factores en los cuales no se ha trabajado a profundidad -- A partir de esta problemática, se presenta el desarrollo de los futuros de TES tasa fija en el mercado de capitales colombiano y se plantean las soluciones encaminadas al desarrollo del mismo observando la experiencia en el mercado mexicano, que ha servido de modelo para su implementación en Colombia, y la utilidad que tienen como herramienta de cobertura para la gestión de riesgos de portafolios de inversión
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    Ítem
    Oportunidades de cobertura para el riesgo operacional a través del cálculo de la exposición por la metodología VaR
    (Universidad EAFIT, 2018) Velásquez Sáenz, Cristopher Darío; Bravo Vélez, Juan Felipe
    The Banks that within their activity as a company provide financial services and are exposed to three sources of risk (Systemic Risks, Own Business Risk and Financial Risks), just like any other company in another sector -- Particularly in the companies of the financial sector, the border between the risks inherent to the business and the financial risks is very thin; since, the operational assets and liabilities in turn are tied to the financial and macroeconomic variables -- Banks within their activity acquire high expertise in the management of liquidity, market and counterparty risks -- But it has been shown that banks in Colombia, and in many countries around the world, do not have models in place that allow for the management, measurement, analysis and control of their operational risks; which represent an important part of your business risks -- Basel III and IV come with new methodologies and new capital requirements required to solve losses, the new exposure of the risks cause banks to modify their calculation judgments in internal models and the increase in control parameters against leverage levels are some of the new changes proposed by the two Basel committees mentioned above -- Of the different risks to which financial institutions are exposed, it has been shown that banks do not allocate sufficient capital to support the materialization of unexpected losses caused by operational risk events -- Through the Montecarlo simulation, the calculations and adjustments corresponding to the valuation model will be carried out to estimate the capital required by a bank, which contains a high degree of exposure for operational risk -- Finally, a recommendation is made as to which is the best form of coverage for each of the values thrown by the model