Repositorio Institucional Universidad EAFIT ::Examinando por Materia "Riesgo cambiario"

Examinando por Materia "Riesgo cambiario"

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Análisis y consecuencias de la volatilidad de la TRM y el COLCAP en el mercado financiero colombiano entre 2019 y 2020
(Universidad EAFIT, 2021) Ruiz Dorado, Alicia Alejandra; Mosquera Oviedo, Juliana; Pérez R. Fredy
The constant and diverse changes in volatility make it important to have adequate forecasting instruments to in one way or another anticipate its behavior and thus manage exchange risk. The Market Representative Rate (TRM) is an average rate that measures the value paid in pesos per unit of American currency, volatility measures the variability or dispersion in the profitability of an asset; taking into account that the volatility of the exchange rate can highly affect the real and financial sector; In this research, a study was carried out that analyzes and measures the consequences of the volatility of the TRM and the COLCAP in the Colombian financial market between 2019 and 2020 using ARCH and GARCH family models to estimate a better forecast.
Cobertura con derivados forward para mitigar el riesgo cambiario en la importación de telas : un estudio en el sector textil colombiano
(Universidad EAFIT, 2024) Díez Rendón, Camilo; Cardona Llano, Juan Felipe
This study assessed the impact of using forward delivery contracts as a hedging strategy to mitigate exchange rate risk in the textile imports of Mattelsa SAS, a company based in Medellín (Colombia). Through a backtesting analysis based on the company’s financial data from 2022 to 2024, the implementation of forward hedging was simulated, comparing the potential results of covering imports against not going so. Representative exchange rates (TRM) and local and foreign interest rates were used to estimate the potential cost or benefit of the forward hedging strategy. The results indicate that in years of high currency volatility such as 2022, the forward hedging could have significantly reduced the company´s exchange rate losses, improving financial outcomes. However, during periods of currency appreciation, such as in 2023, the forward contacts might have resulted in additional cost instead of proving protection. Despite these mixed results, forward delivery contracts remain a suitable alternative for importing companies as they allow for the locking in of exchange rates, offering financial stability in scenarios of devaluation. The study concludes that a flexible hedging strategy, adapted to shifting market conditions, is essential to maximize the benefits and minimize risks, making forward delivery a valuable tool in exchange rate risk for Mattelsa SAS.
Determinantes de la volatilidad del precio interno del café en el mercado colombiano entre los años 2015 y 2022
(Universidad EAFIT, 2024) Chávez Pinzón , Laura María; Pardo Calderón, Lina María; Cruz Castañeda, Vivian
Colombia is a country recognized worldwide for its agricultural products, especially for its coffee. Ninety-six percent of the coffee producers are small farmers that are exposed daily to the fluctuation of prices in the international market and, in many occasions, this dependence does not cover their production costs, encouraging the exit or little participation of the producers in the coffee industry. The main variables that influence the behavior of internal coffee prices are: the price of the C contract, the quality premium and the exchange rate. In this study a quantile regression of the returns of internal coffee prices as a function of the conditional volatility of the returns of the C Contract and the TRM, between the years 2015 and 2022, using ARMA-GARCH models, was carried out. The most impactful results show that a unit increase in the conditional volatility of the TRM returns at the 0.95 quantile generates an increase in domestic coffee returns by 0.97% and that a unit increase in the conditional volatility of C contracts generates an increase of 0.31% in the returns of domestic coffee prices. This study offers valuable insights that can contribute to improve the resilience and sustainability of the Colombian coffee industry. Furthermore, by identifying the factors that influence domestic coffee prices, this study lays the foundation for future research and policies aimed at mitigating volatility and promoting more equitable and stable conditions for coffee producers in the country.
Estrategia de cobertura para la gestión del riesgo de tipo de cambio en la empresa Vallecaucana Prompack SAS
(Universidad EAFIT, 2022) Varón Gómez, Maria Camila; Sánchez Echeverry, Daniel Fernando; Waserman Álvarez, Jean Paul
In Colombia, exporting and importing are two pillar activities for the national economy, both face the volatility of the exchange rate, which is a risk factor for entrepreneurs. In order to minimize and even avoid this risk, there are tools such as foreign exchange hedges that act as an appropriate mechanism to help protect the cash flows, profitability and value of companies. Vallecaucana Prompack SAS is a company dedicated to the manufacture and export of packaging solutions and dosage of plastic products This document aims to define the different hedge mechanisms that are used in the industrial sector, in order to determine the possible strategies that can be used by the company to mitigate the fluctuations of the exchange rate and evaluate the impact in the financial indicators of the company.
Estrategia de cobertura para mitigar el riesgo cambiario en una empresa del sector industrial en el Valle del Cauca
(Universidad EAFIT, 2019) Gómez Saldarriaga, Jessica Paola; Vásquez Román, Juan José; Waserman Álvarez, Jean Paul
This paper aims to develop and evaluate the main factors in the design of one foreign exchange hedging strategy for a company in the industrial sector in Valle del Cauca, as a mechanism to mitigate the present risks in exchange rate fluctuations. In this way, the income statement and the capital structure of the company are protected from the possible effects in the exchange rate variations on the assets, current liabilities, operating profit, net income and therefore on its financial indicators. For this, it is intended to analyze the company's exposure to this kind of risk, the different tools and mechanisms currently used for its management, and also this paper contains a small exchange rate financial derivatives summary, in order to identify the appropriate hedging strategy for this company.
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.
Impacto financiero a través de coberturas con forward para una empresa exportadora de cacao en grano en Colombia
(Universidad EAFIT, 2022) Marín Cano, Natalia; Valencia Gil, Jhon Alexander; Cardona Llano, Juan Felipe
Currently, many Colombian companies are facing new challenges derived from the opening of foreign markets, a fact that forces them to carry out transactions in a currency other than the local one –in this case the Colombian peso–. These operations are accompanied by risks inherent in a globalized world where it is essential to generate tools that allow them to mitigate the risk caused by market variations. Two of these risks are the volatility of the US dollar and the international price of raw materials (commodities), whose fluctuation generates uncertainty for companies, depending on external factors that directly affect their cash flows. Thus, the purpose of this document is to describe the financial impact generated by hedging financial instruments for a cocoa exporting company in Colombia that carries out operations in foreign currency.
Impacto financiero a través del uso de coberturas con Forward para una empresa exportadora de servicios BPO en Colombia
(Universidad EAFIT, 2023) Martínez Osorio, Valery Tatiana; Marín Orozco, Stivenson; Cardona Llano, Juan Felipe
Colombia has had a financial derivatives market for over 20 years, and for approximately ten years, there has been a trading platform for standardized instruments (Hernández, 2018). Despite this, the participation of companies in this sector has been very low. Consequently, it is necessary to conduct a financial analysis to determine the impact generated by the use of forwards in foreign trade operations. This analysis allows for the identification of how this financial instrument contributes to minimizing exchange rate risk and ensuring the financial efficiency of a company. It is worth noting that the efficient use of these derivatives can contribute to minimizing the exchange rate risk faced by companies in the BPO sector from 2019 to 2022. It also enables them to experience less uncertainty, providing stability in their revenues and cash flow projections. This, in turn, helps ensure the normal development of business units.
Multifondos de pensiones obligatorias en Colombia : un análisis de la gestión de riesgos
(Universidad EAFIT, 2021) Aponte Ruiz, Isis Mar; Téllez Falla, Diego Fernando
Proyección de la Tasa de Cambio Representativa del Mercado, por medio de la simulación Montecarlo, sensibilizada con el método Bootstrap para la toma de decisiones financieras de Groupe Seb Andean S.A.
(2019) Dávila Betancur, María Andrea; Brayan Ricardo, Rojas
Groupe Seb Andean S.A is a cookware products manufacturing company and commercialize small appliances. In Colombia it operates with the brand Imusa and Samurai. Currently, the company has a vision to develop new business abroad. Companies that carry out activities in the international context are exposed to multiple risks, among these, the exchange risk, which will be the objective of study in this thesis. The objective is to forecast the Exchange Rate through a stochastic simulation model sensitized with the Bootstrap method. The goal is to develop daily and monthly reports for the financial and commercial management team; with the objective to forecast the currency's trend and analyze the impact in the financial statements of the company. Through the aforementioned methods, a short- and medium-term management and decision-making tool was developed leaving the entity to take its decisions more accurately.
Uso de derivados financieros para cubrir la exposición al riesgo cambiario de la empresa LAC SAS.
(Universidad EAFIT, 2021) Flórez Ospina, Sebastián; López Ramírez, Juan Alberto; Cardona Llano, Juan Felipe
For more than 10 years financial derivatives have been incorporated into the Colombian Stock Exchange with the objective that investors can carry out speculation or hedging operations, however, empirical evidence shows that the use of these products in companies in the agricultural sector it is not yet internalized by their owners, boards of directors or administration. therefore, a theoretical construction is carried out on the derivatives market in Colombia and on the different instruments that are used in this market to determine the possible financial strategies that a company such as Línea Agrícola Colombia SAS can contemplate to mitigate exchange risk through hedging with financial derivatives. After analyzing the financial statements of the company and reviewing the impact of the difference in the change that the company has had by not using adequate hedging instruments, we will validate the feasibility of using a future (financial derivative) to reduce this risk. Through this study, it is intended to correctly structure a hedging strategy for Línea Agrícola Colombia SAS that allows it to adequately manage foreign exchange risk in order to avoid having a negative impact on the financial statements.

Examinando por Materia "Riesgo cambiario"

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