Examinando por Materia "Cobertura cambiaria"

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    Desarrollo y comparación de modelos ARIMA-GARCH y SARIMA-GARCH para la estimación del tipo de cambio USD/COP y propuesta de coberturas cambiarias con derivados forward para empresa importadora de autopartes en Colombia
    (Universidad EAFIT, 2025) Caballero Rosas, Daniel; Molina Sierra, Luis Felipe
    This research analyzed the estimation of the USD/COP exchange rate through the development and comparison of ARIMA-GARCH and SARIMA-GARCH models to design hedging strategies. Historical data from the Representative Market Rate (2019-2024) and optimization techniques in Python were used. Results indicated that SARIMA-GARCH provided higher predictive accuracy by capturing seasonal fluctuations and reducing errors compared to ARIMA-GARCH. Based on these forecasts, forward contract hedging strategies were proposed to mitigate exchange rate risk. However, market uncertainty and unexpected events may affect model accuracy, making recalibration every 60-90 days advisable. The combination of time series models with conditional heteroskedasticity proved essential in volatile markets, although its high computational demand can be a limitation. This study provides applicable tools for exchange rate risk management, optimizing financial decision making for importing companies.
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    Impacto de la gestión de riesgo cambiario en la generación de valor : caso aplicado a una empresa colombiana intensiva en tecnología
    (Universidad EAFIT, 2022) Buriticá Botero, Santiago de Jesús; Parrado Muñoz, Natalia; Waserman Álvarez, Jean Paul
    Currency hedges play a fundamental role in companies due to the impact that it has on the company value as a result of stable cash flows, which allows choosing investment and growth opportunities at any time (Bekaert, G., & Hodrick, R. (2012, P 609). Likewise, some research according to Luo & Wang (2018); Giraldo-Prieto et al., (2017) ; Bartram et al., (2011), Lee (2019). Luo & Wang (2018) affirms that the use of derivatives can have a positive impact on financial performance. This study aims to analyze the impact that the use of currency hedges could generate value for a technology company in Colombia where exports are more than 50% of its services. The methodology includes the development of a Monte Carlo simulation model to analyze the possible impacts that the decisions to negotiate Forwards may have on the main value indicators of the company.
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    Multifondos de pensiones obligatorias en Colombia : un análisis de la gestión de riesgos
    (Universidad EAFIT, 2021) Aponte Ruiz, Isis Mar; Téllez Falla, Diego Fernando
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    Predicción del precio del oro en el mercado spot y el tipo de cambio USD–COP para la optimización del rango de cobertura en derivados de las compañías exportadoras del sector minero
    (Universidad EAFIT, 2024) Gallego Panesso, Cristian Alexander; Almonacid Hurtado, Paula María
    This study addresses the implementation of various time series regression and machine learning models, such as: ARIMA, ARIMAX, SARIMA and Random Forests with the objective of accurately predicting the price of gold in the spot market and the USD–COP exchange rate. Precision in these predictions is crucial for export companies in the mining sector, as it allows them to establish optimal coverage ranges in the use of financial derivatives. Throughout the study, different machine learning algorithms were evaluated and compared, selecting those that provided the most accurate and consistent results. The findings offer a valuable tool for financial risk management and strategic decision making in the context of gold price volatility and exchange rate fluctuations. At the end of the study, it is indicated that the ARIMAX Rolling Forecast model applied in a parameterization (1,1,0) was the most accurate and consistent model over time for the price forecasts of both assets.