Repositorio Institucional Universidad EAFIT :: Examinando por Materia "RIESGO (FINANZAS)

Examinando por Materia "RIESGO (FINANZAS) - COLOMBIA"

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Acuerdos de compra de energía (PPA, power purchase agreements) para sistemas fotovoltaicos en el mercado colombiano. Riesgos y escenarios financieros
(Universidad EAFIT, 2025) Alzate Hernández, Juan David; Jaramillo Suárez, Juan Pedro; Almonacid Hurtado, Paula María
Análisis comparativo de la gestión activa vs pasiva de un portafolio accionario en el mercado de valores colombiano : acercamiento por medio de Markowitz
(Universidad EAFIT, 2025) Álvarez Antía, Jerónimo; Ángel Correa, Andrés; Mejía Jaramillo. Alejandro
This study seeks to compare the performance of active and passive portfolio management strategies within the Colombian equity market. The research specifically investigates whether passive management, replicated through the iShares MSCI COLCAP ETF, is able to match or exceed the outcomes of an active strategy implemented using the Markowitz optimization model. To this end, historical daily price data for the constituent stocks of the COLCAP index were analyzed over a five-year period. A quantitative and exploratory methodology was employed, incorporating backtesting simulations with semiannual portfolio rebalancing, and evaluating performance and risk metrics such as volatility, Sharpe ratio, and Sortino ratio. The findings indicate that, in the Colombian market, the additional risks associated with attempting to outperform the index are not compensated by a sufficiently attractive expected alpha. Consequently, within the context of an emerging economy, passive management emerges, in general terms, as the most appropriate alternative for retail investors.
Comparing Exchange Rate Volatility Dynamics Using Bayesian Stochastic Volatility Models
(Universidad EAFIT, 2026) Díaz Vargas, Jhonathan Estiven; Suárez Sierra, Biviana Marcela
Credit-linked notes (CLN) como mecanismo alternativo de financiación para proyectos concesionados de infraestructura vial en Colombia
(Universidad EAFIT, 2025) Riascos Vallejo, Sara; Mejía Mora, Johnatan; González García, John Fredy
This research explores the use of credit-linked notes (CLN) as an alternative financing mechanism for public-private partnerships (PPPs) in road infrastructure projects in Colombia. Using an exploratory and descriptive approach, the study analyzes the structural characteristics of CLN, the country's financial and regulatory environment, and their applicability within the context of road concessions. Secondary sources, document analysis, and relevant case studies are used to identify barriers and opportunities for implementation. The objective is to propose a conceptual model to evaluate the feasibility of using CLN as a complementary instrument to existing financing schemes, with the aim of increasing capital market participation and strengthening the financial sustainability of road infrastructure projects in Colombia.
Definición de riesgos estratégicos de la empresa de Transporte Masivo Transcaribe S.A. que permita a la organización tener elementos para la toma de decisiones de alto nivel
(Universidad EAFIT, 2025) Arrieta Espitia, Rosa Enith; Aristizábal Londoño, Sandra Paola; Guerrero Latorre, Jorge Harley
Del miedo a la oportunidad : un índice predictivo para el mercado bursátil colombiano
(Universidad EAFIT, 2025) Soto González, Miguel Ángel; Montoya Gil, Juan Miguel
Detección de tópicos con aprendizaje automático para la identificación de riesgos emergentes
(Universidad EAFIT, 2025) Hernández Martínez, Felipe; Peña Palacio, Juan Alejandro
Diseño de un modelo de scoring de crédito para evaluar el riesgo de impago de la cartera de créditos de la plataforma de financiación cooperativa a2censo (Bolsa de Valores de Colombia, BVC)
(Universidad EAFIT, 2025) Chaljub Buelvas, Elkin Guillermo; Vásquez Martínez, Nataly; Rojas Ormaza, Brayan Ricardo
Estructura financiera y de producto de una compañía de renting de vehículos en Colombia, a través de un método econométrico
(Universidad EAFIT, 2024) Pabón Díaz, Yesly Tatiana; Durango Gutiérrez, María Patricia
This research work seeks to determine the ideal structure of a vehicle rental company from the perspective of financing sources and product structure that maximizes shareholder profitability, minimizes the cost of capital and is sustainable over time in the Colombian market. Since the purpose is not to be biased in the determination of the optimal business structure of vehicle leasing, a company will be created from scratch by applying the CAPM, Trade-off between debt and equity, Agency and Pecking Order theories to analyze the funding structure of this company, and the theories of Expected Utility, the Fisher International Effect and the Hedging theory for the approach of the ideal financial product. The result of the ideal structure will be contrasted with the sectorial trend given by the eleven companies with the highest participation in the vehicle rental market in Colombia.
Estructuración financiera y contable de bonos de impacto social en el contexto colombiano
(Universidad EAFIT, 2025) Ortiz Escudero, Paola Andrea; Berrío Velásquez, Lina Luz; Gómez Gómez, María Paulina
The present study focuses on proposing a general financial and accounting structuring model for the implementation of Social Impact Bonds (SIBs) in Colombia, specifically directed toward private-sector stakeholders. SIBs are recognized as an innovative financing mechanism designed to address social needs in the country through the creation of synergies between the public and private sectors. These instruments facilitate the mobilization of private capital to fund projects that generate measurable and verifiable social benefits, which are compensated through a results-based payment model. This approach aims to produce not only social impact but also financial returns for private actors participating in the role of investors. This document begins with a review of the international literature on SIBs developed in various countries, as well as reports on cases implemented in Colombia. This review identifies lessons learned and challenges encountered in their application. The evidence collected highlights significant benefits for target populations resulting from the development of this form of social investment. However, it also reveals the need to strengthen the knowledge base and tools for financial and accounting structuring from the perspective of private participants, with the aim of facilitating implementation and encouraging a greater number of initiatives financed through these instruments. In the Colombian context, an adaptation of the Social Impact Bond model has been identified that incorporates the role of an intermediary. Through contractual relationships with investors, outcome payers, and service providers, the intermediary assumes responsibility both for meeting the established targets and for ensuring the financial viability of the program. This role connects government entities willing to pay for results with investors interested in financing projects that generate measurable social impact. This adaptation introduces distinctive challenges within its financial model, primarily assumed by the intermediary. Therefore, it is appropriate to develop a financial and accounting structuring guide oriented toward private-sector actors, intermediaries, investors, and operators, engaged in projects framed within results-based payment models. Such a guide would facilitate the replication and scaling of these instruments. The technical design and price definition processes, which may fall under the responsibility of public entities or, as observed in the Colombian experience, international cooperation agencies that have introduced these methodological strategies to promote social projects, are not addressed in this study. Nonetheless, these processes establish essential conditions for the operational and financial execution of programs, guiding them toward achieving their objectives and ensuring the efficient use of resources. Accordingly, this model proposes a structure that defines the flow of resources from the private sector. It seeks to clarify, along the project timeline, the value contributed by investors, the timing and conditions under which these contributions are made, the manner in which each party manages risk, and the projection of returns contingent upon the achievement of results. The overall objective is to provide a technical tool that promotes the implementation, scaling, and consolidation of a greater number of initiatives—both under the Social Impact Bond framework, where the payer is a public-sector actor, and under the Development Impact Bond framework, where the payer is a private actor.
Evaluación de modelo de flujo de caja en riesgo (CEFaR) para estimar riesgos financieros en la construcción y operación de un restaurante en altamar
(Universidad EAFIT, 2025) Ramírez Candado, Judy Lissette; Parra Chamorro, Natalia Alejandra; Támara Ayús, Armando Lenin
Evaluación de un modelo de crédito para el otorgamiento de crédito de la empresa Suprecredito SAS
(Universidad EAFIT, 2025) Gual Restrepo, Felipe; Ruiz Martínez, Juan Camilo; Mora Cuartas, Andrés Mauricio
Evaluación del impacto normativo en la gestión de liquidez en empresas de economía mixta
(Universidad EAFIT, 2025) Ortiz Morales, Alejandro; Alzate Arias, Hernán Alonso
Factoring titularizado como instrumento de diversificación. Impacto en riesgo y retorno en portafolios de acciones colombianas y bonos TES, 2019-2025
(Universidad EAFIT, 2026) Arenas Gómez, Mateo; Berón Salazar, Julián Andrés; Arenas Gómez, Camilo José
This research analyzes the extent to which the inclusion of securitized factoring securities improves the risk-return profile of portfolios composed of stocks listed on the Colombian Stock Exchange and domestic Government bonds (TES). For this purpose, a synthetic factoring security was modeled using cash flows, implied discount rates, and invoice risk levels. Monthly time series of returns for the Colcap index, TES bonds, and the modeled asset were also compiled, and a quantitative analysis was applied, including volatilities, Sharpe ratio, VaR (value at risk), and maximum drawdown. Finally, diversification was evaluated using correlation matrices and capital allocation simulations. The results show that the incorporation of securitized factoring securities reduces volatility and optimizes the risk-return relationship compared to traditional Colombian portfolios based solely on Colombian equities and government bonds.
Gestión de riesgos financieros y sostenibilidad en concesiones viales en Colombia : un análisis aplicado a un proyecto expuesto a riesgo de tasa de interés y tasa de cambio
(Universidad EAFIT, 2026) Chiquiza Vergara, Alexandra; Villamil Villamil, Fernando Alonso
The financial sustainability of road infrastructure projects in Colombia is affected by their exposure to market risks such as interest rate and exchange rate volatility. This research analyzes the effectiveness of using financial derivatives as a hedging strategy against such risks. A 30-year financial model was developed, incorporating sensitivity scenarios based on key reference rates. Structures with and without financial hedging were compared. The data used included historical interest and exchange rates, macroeconomic variables, and real cash flows from concession contracts. Results show that a mixed debt structure (COP and USD) can offer benefits equivalent to fully dollar-denominated debt combined with exchange rate hedging. Furthermore, the use of derivatives helps stabilize key indicators even under adverse conditions. It is concluded that financial hedging improves project viability and strengthens cash flow stability.
Impact of Colombian financial sector conglomerates from a systemic risk perspective A consolidated supervisory viewpoint
(Universidad EAFIT, 2026) Rios Acevedo, Mariana; Durango Gutiérrez, María Patricia
Impacto de la iliquidez del mercado accionario colombiano en la valoración de sus principales empresas cotizadas
(Universidad EAFIT, 2025-11-10) Gómez Vásquez, Martín; Montoya Gil, Juan Miguel
This study examines the impact of stock market illiquidity on the valuation of Colombia’s main publicly traded companies over the 2015–2024 period. Using monthly data on prices, trading volumes, and accounting information, representative portfolios by firm size are constructed along with a liquidity factor based on the return differential between illiquid and liquid stocks. An extended CAPM model is estimated by incorporating the liquidity risk alongside the market factor to assess whether illiquidity constitutes a systematic risk component priced in expected returns. The results indicate that illiquidity is indeed priced in the Colombian stock market: large-cap firms display a positive and significant liquidity coefficient, evidencing an illiquidity premium, while medium-sized firms show an inverse effect and small firms exhibit no statistically significant relationship. Comparative evidence with regional markets confirms Colombia’s relatively low depth and market development. These findings suggest that the lack of liquidity increases financing costs and depresses corporate valuations, representing a relevant risk for both investors and issuers. The research contributes to the emerging markets literature by providing recent evidence of an illiquidity premium within a context of limited market integration and high ownership concentration.
Maf Challenge - Retornos de equilibrio para multiactivos
(Universidad EAFIT, 2025) Giraldo García, María Alejandra; Aristizábal Arango, Daniel; Giraldo Restrepo, María Alejandra; Mejía Escobar, Juan Camilo; Grajales Correa, Carlos Alexander; Durango Gutiérrez, María Patricia
This study develops a quantitative model to estimate equilibrium returns in multi-asset portfolios by integrating the Arbitrage Pricing Theory (APT) with the machine learning algorithm Extreme Gradient Boosting (XGBoost). The model incorporates monetary, real, financial, and expectation-based macroeconomic factors—such as inflation, employment, monetary policy, liquidity, credit spreads, and consumer sentiment—classified as leading, coincident, or lagging. The inclusion of lag structures captures the gradual transmission of macroeconomic shocks, while XGBoost identifies nonlinear patterns and complex interactions among variables. This hybrid framework allows for the estimation of factor sensitivities (betas) and risk premia (λ), producing return estimates consistent with a multifactor equilibrium. The methodology is applied to liquidity instruments, sovereign bonds, high-yield credit, emerging market debt, REITs, and global equities. Results show that both macroeconomic fundamentals and investors’ expectations play a central role in determining expected returns, highlighting the relevance of combining economic theory with modern machine learning techniques.
Medición de riesgos en el costo para toma de decisiones, una aplicación de Cost At Risk (CAR) en una empresa manufacturera de insumos para construcción
(Universidad EAFIT, 2025) Aguirre Rendón, Víctor Hugo; Cruz Castañeda, Vivian
Modelo de caracterización de los títulos de renta fija denominados en dólares del mercado de los estados unidos : un análisis desde las categorías de perfil de riesgo
(Universidad EAFIT, 2025) Pava Muñoz, Diego Alejandro; Giraldo Arango, Mateo

Examinando por Materia "RIESGO (FINANZAS) - COLOMBIA"

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