Examinando por Materia "Riesgo de mercado"
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Ítem El Acuerdo de Basilea: Estado del Arte del SARC en Colombia(Universidad EAFIT, 2005-04-15) Torres Avendaño, GabrielThe first version of the Basel Capital Accord was signed in 1988 by representatives of Group G-10. Since then, this accord has been widely implemented around the world. There has been various amendments including market risk and, lately, in Basel II, the operative risk. In Colombia, since 2002, it is mandatory for risk management in Financial Institutions.Publicación 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, VivianColombia 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.Publicación ¿Es posible pronosticar el precio por kilogramo en el mercado porcícola como una herramienta de gestión de riesgo?(Universidad EAFIT, 2024) Zapata Bustamante, Juan Camilo; Cruz Castañeda, VivianDue to the high volatility on the price per kilogram (COP/kg) in the pork market, the development of a predictive model as a risk management tool for producers is sought. The purpose of this tool is to provide a strategic guide to identify the best moment to sell a batch, organize the production accordingly and stablishing favorable conditions in selling contracts. This could provide an optimal risk management tool from the producer’s perspective in the market. To achieve this, the Box Jenkins methodology will be employed, using the ARIMA model as a base. The main objective its to anticipate possible fluctuations in the pig market, allowing producers to take informed decisions and in consequence, maximize de returns in the Colombian market operations.Ítem Estimación del riesgo de mercado y evaluación de estrategias de cobertura para commodities y tasa de cambio en Grupo BIOS(Universidad EAFIT, 2023) Rueda Ramírez, Daniel; Couleau, AnabelleÍtem Estimación del Valor en Riesgo -VaR- para un portafolio de inversión compuesto por acciones del COLCAP bajo el método de Cópulas usando la distribución t-student(Universidad EAFIT, 2022) Ayala Urrea, Jhon Stiwart; Hoyos Giraldo, Ricardo; Peña Higuavita, Germán AdolfoValue at Risk (VaR) is a measure used to calculate the limit of the possible loss of value of a portfolio with a defined confidence level. There are traditional methods to calculate it such as Historical Simulation and Variance-Covariance; however, both rely on the past to explain the future, so in the face of events occurring for the first time, their risk estimate is limited. This research proposes a way to prepare the financial market for an upcoming pandemic or other future risk event. The Copulas method is used following a t-student distribution that provides a way to define the correlation structure between two or more variables, regardless of the shapes of their probability distributions. The results obtained show that the estimation of VaR is more accurate and consistent under the Copulas method than by traditional methods.Ítem Evaluación de alternativas de inversión en estrategias de dividendos crecientes como alternativa o complemento a la pensión(Universidad EAFIT, 2021) Guerrero Quintero, Santiago; Muñoz López, Geraldine; Peña Higuavita, Germán AdolfoThis paper presents the evaluation of different investment options in companies with increasing dividends as an alternative or complement to the pension, in order to evaluate the suitability of the strategy for investors who are in the capital accumulation stage for retirement according to the results obtained. For this, were formed seven portfolios with different periods of time and different selection characteristics in order to review the profitability in terms of cash flows generated for the investor, as well as the return of the share in the period of time between the hypothetical conformation of the portfolio and March 2021, likewise a backtesting was carried out for this same period of time and an evaluation of the behavior of the portfolio in the market was carried out by comparing it with 3 financial instruments and based on this evaluation, a strategy is established that, although it is true, has greater risk, it also generates greater profitability than conventional fixed-income alternatives and that should be taken into account as a very good investment option for the pension stage.Publicación Incidencia de las coberturas con derivados financieros en el valor de mercado en empresas del MILA (2018-2022)(Universidad EAFIT, 2024) Castañeda Cuadros, Brayan Iván; Giraldo Prieto, César AugustoThe present study examines the impact of financial derivatives hedging on the market value of a sample of 40 companies listed on the MILA between 2018 and 2022, whose emerging economies exhibit historical volatility. To do so, 10 companies from each country (Chile, Colombia, Peru, and Mexico) were analyzed. The information was treated as panel data using a fixed-effects linear regression model, with the Q Tobin as the dependent variable serving as an indicator of market value associated with financial derivatives hedging strategies. The results consistently indicate that, for the selected sample, the use of financial derivatives does not have a significant impact on their value, and, contrary to expectations, they also do not add value. Regarding the strategies maintained in these portfolios by the analyzed companies, it was found that they are rarely important within the corporate financial structure, and their results are questionable. The study is of interest to investors, entrepreneurs, and other stakeholders interested in understanding the implications of engaging in financial derivatives hedging.Ítem Metodologías de estimación del valor en riesgo (VaR) : índice Nasdaq compuesto bajo, métodos paramétricos, no paramétricos y de valor extremo(Universidad EAFIT, 2023) Abad Gómez, Juan Pablo; Ospina Mejía, Jaime AlbertoValue-at-Risk (VaR) is a measure of market risk that aims to establish the upper limit of possible losses in the value of an asset or portfolio of assets, under a previously defined confidence level. Nowadays there are different approaches to estimate this measure such as parametric methods, non-parametric methods and Extreme Value Theory (EVT). This research does a comparison between estimations made using the Historical Simulation, Variance-Covariance, Extreme Value Theory, and Volatility Adjusted methods. The results obtained show that the Volatility Adjusted VaR model proposed by Hull & White (1998) has the best fit in high-volatility time periods. While EVT VaR shows the best fit on normal time periods for very high confidence levels.Publicación 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 MaríaThis 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.Ítem El riesgo de mercado en las empresas de seguros en Colombia(Universidad EAFIT, 2019) Soto Garcia, Natalia; Ospina Mejia, Jaime AlbertoThe main objective of the work is to analyze the market risk management system and regulatory frameworks used by insurance companies in Colombia and to comment on some of the best practices implemented in Latin America. In order to know the subject in depth, a bibliographic review of regulatory frameworks related to the management of market risk is carried out. In addition, experts in the subject and those responsible for the management of market risk of one of the leading insurers and with extensive experience in the Colombian market are approached.