Examinando por Materia "Cobertura"

Mostrando 1 - 13 de 13
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    Análisis de activos financieros en Colombia; cobertura a posiciones en Bitcoin
    (Universidad EAFIT, 2022) Escobar Anduquia, Christian Daniel; Avella Jiménez, Sebastián Darío; Rojas Ormaza, Brayan Ricardo
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    Análisis del impacto de las variables macroeconómicas en la dinámica de ventas de vivienda VIS y No VIS en Colombia en los años 2010-2022
    (Universidad EAFIT, 2023) Sánchez Vásquez, David Alejandro; Herrera Gómez, Natalia; Alzate Arias, Hernán Alonso
    The acquisition of housing and construction are essential pillars of the Colombian economy, but their behavior in the inflation and other current challenges is an underexplored topic. In this context, a research study is proposed to analyze the impact of various macroeconomic variables such as monetary policy, interest rate, the housing acquisition rate, the Economic Tracking Indicator, construction materials, among others, on the dynamics of housing sales in Colombia from January 2010 to May 2023. Through the execution of a multiple linear regression analysis, this study aims to precisely identify which macro variables explain fluctuations in housing demand. Additionally, qualitative and quantitative tools are proposed as risk coverage options for interest rate volatility and economic uncertainty scenarios.
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    Análisis del impacto financiero del uso de cobertura de metales en la industria manufacturera de cables de energía.
    (Universidad EAFIT, 2019) Blanco Giraldo, Gloria Cristina; Quintero Copete, Lina Vanessa; Trespalacios Carrasquilla, Alfredo
    The objective of this paper is to evaluate the impact of the use of copper and aluminum coverage in an energy cable manufacturing company, to mitigate the volatility risk of the cost of raw materials. Based on the analysis, there is evidence of an effective natural hedge to mitigate the risk, generated by the internal policy of setting the sale price of the product, based on the cost of the main raw materials in the international market.
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    Aplicación del modelo Black-Litterman para la construcción de un portafolio de renta fija global, mediante la estructuración de un benchmark propio y estrategia de cobertura vía forwards
    (Universidad EAFIT, 2022) Mc Master Molina, Carl Vincet; Botero Ramírez, Juan Carlos
    The access to different investment assets, the search for diversification, and the application of measures as for quantification and hedging risk are relevant factors for building and managing international investment portfolios. Therefore, the objective of the present paper aims to the application of Black-Litterman portfolio model on building a global fixed income portfolio, which is made up of high yield and investment grade ETFs, as well as developed countries government bonds. Furthermore, in order to increase hedging, diversification ratio, and to minimize risk, a benchmark, which is made up of both global fixed income indices and assets from the same category will be built. Finally, a hedging strategy will be proposed through forwards in order to minimize the inherent risk due to currency depreciation.
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    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 Orlando
    En 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).
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    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 Orlando
    Quienes 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.
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    Gestión del riesgo cambiario en una empresa exportadora colombiana mediante el uso de derivados
    (Universidad EAFIT, 2024) Montoya Urán, Yenny; Carmona Sánchez, Esteban Giovanni; Cruz Castañeda, Vivian
    This thesis presents a strategy for managing exchange rate risk in a Colombian exporting company through the application of financial derivatives. The study focuses on a company dedicated to the production of raw materials for food, whose exports in U.S. dollars (USD) currently account for 34% of its sales, with a projected increase to 60%. Using the EGARCH model (Generalized Autoregressive Conditional Heteroskedasticity), the exchange rate between the USD and the Colombian peso (COP) was modeled to evaluate its behavior between 2021 and 2022, enabling a forecast for 2023. This forecast was compared with actual data to assess its accuracy. The results indicated that the EGARCH (1,1) model is the most suitable, achieving a deviation of less than 8% in the final days of comparison. Based on these projections, the necessary coverage amount was determined to mitigate potential impacts on the company’s financial statements and cash flow in 2023. It was concluded that the most appropriate derivative for the company is the Forward contract, and the Value at Risk (VaR) was used to establish the maximum potential loss. This research aims to offer a comprehensive approach to exchange rate risk management, combining financial modeling and the use of derivatives, providing practical tools for informed decision-making in exporting companies.
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    Influencia de la trayectoria laboral sobre la probabilidad de obtener la pensión en Colombia
    (Universidad EAFIT, 2019) Jiménez Jiménez, Sara Isabel; Llano Jaramillo, María; Ospina, Mónica Patricia
    This paper studies the determinant variables of retirement in Colombia, with emphasis those related to the work trajectory of individuals. For this purpose, the data from the Longitudinal Survey of Social Protection made in 2012 are used, and by means of a Probit model the probability of retiring of those individuals eligible to obtain the pension according to the age criterion is estimated. The results of the model show that the age and localization of the first job and the type of remuneration are the characteristics that positively and significantly affect the probability of retiring. This indicates that the pension reforms must work hand in hand with labor policies, since as observed in this work, working conditions from the first job seem to affect the insurance in old age.
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    Planificación financiera de las aerolíneas frente a cambios en el precio del jet fuel
    (Universidad Eafit, 2020) Arango Duque, Daniel; Arias Sánchez, Juan Manuel
    Currently, the Colombian aviation industry faces major economic and financial changes. This industry has had an average annual growth of 9% in the last 13 years (2005 to 2018). Its necessary to analyze how sustainable is this growth that generates a high impact on revenues and leads to prioritizing the evaluation of their costs. Some of these can be directly controlled by the companies, while others don’t. In this sense, this paper identifies the variables that affect one of its main costs, fuel consumption, which depends on type of fleet and routes. This item is 33% of the total costs of the airline, making it the most significant, with high volatility, because its price depends on external factors not controllable by the airlines generating a high impact on their financial statements. Financial planning role is implement possible tools to mitigate the changes in the prices of jet fuel. The paper is expected to provide useful information for developing an internal coverage policy, which allows companies to manage market risks that directly impact the costs and cash of an airline.
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