Examinando por Materia "Modelos Ewma"

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    Construir un modelo financiero para calcular el VAR para Fondo de Inversión Colectiva con pacto de permanencia Avanzar 180 días
    (Universidad EAFIT, 2018) Cardona Cardona, Madeleyne; Moreno Muñoz, Andrés Rodrigo; Pérez Ramírez, Fredy Ocaris
    Within the strategy of the Coomeva Group, Coomeva Fiduciary was set up with the aim of expanding the portfolio of services to its members -- In this process, the registration and approval of the Collective Investment Fund with a permanence pact ADVANCED 180 days was managed to provide investment options to associated and non-associated clients -- In the optimal operating conditions of the Fund, its necessary to build a Financial Model that supports the timely monitoring and control of the assets that comprise it, for to keep it free of toxic assets that could put its profitability and liquidity at risk -- Therefore, in the present work, the modeling and analysis of data of different financial assets was carried out and, in accordance with this, the most appropriate model was established to calculate the VaR of the portfolio, through methods of wide recognition in this matter