Examinando por Materia "Riesgos financieros y gestión de riesgos"

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    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.