Examinando por Materia "Valor en riesgo (VaR)"

Mostrando 1 - 6 de 6
  • No hay miniatura disponible
    Ítem
    Administración del riesgo financiero bajo NIIF 9
    (2018) Bastidas Delgado, David Andrés; Londoño Osorno, Rodrigo Alberto
    IFRS 9 (Financial Instruments) introduced a significant change in the estimation of risk in international accounting, since it contemplates the calculation of expected future probabilities that must be measured and recognized in the accounting of an organization -- This research shows simulations of the financial risk and the analysis of models that allow obtaining the quantification of future estimates -- It is expected that the results obtained will help organizations to make better decisions using proper risk management -- The research evaluated different instruments that were the result of the union of several models, methodologies and techniques that allowed a better analysis, which led to propose simulations under hypothetical scenarios and make use of instruments designed for sound financial risk management -- The risks evaluated and managed by this research were: credit risk and market risk, as well as the changes in the NIIF 9 standard for hedge accounting, where a better measurement of the derivative's effectiveness is recognized
  • No hay miniatura disponible
    Ítem
    Análisis del efecto que tiene la selección del modelo de construcción de portafolio óptimo y de valoración en riesgo de mercado en la administración de la riqueza
    (Universidad EAFIT, 2017) Caldas Bechara, Esteban Andrés; Fitzgerald Fernández, Kevin Sledge; Pérez Ramírez, Fredy Ocaris
    As a consequence of the economic development experienced in the last decades, there has been a surplus wealth phenomenon in society, which requires adequate financial planning and efficient management of economic surpluses -- This has led to the theory of the administration of Wealth Management plays a leading role when making investment decisions -- Not knowing this theory can lead an investor to make decisions without fundamentals, which do not lead to the optimum where profit maximizes with the lowest possible risk -- Understanding this, we will explain how the selection between two methods of constructing the optimum portfolio and the calculation of the value at risk, apparently a decision little transcendental or little known for an investor, can directly affect the profitability of a fund because of the respective recomposition of the portfolio that causes each method
  • No hay miniatura disponible
    Ítem
    Caso de estudio: modelo de simulación de riesgos bajo metodología de Montecarlo para una empresa colombiana de consumo masivo
    (2018) Restrepo Ardila, Ana María; Restrepo Tobón, Diego Alexander
    La administración del riesgo ha surgido en el escenario económico, de la década actual, como una herramienta estratégica que le permite a las organizaciones maniobrar con mayor certeza a través de la incertidumbre -- Los sistemas de riesgos robustos han visto su mayor expansión y consolidación en el sector financiero; sin embargo, el campo de acción de esta herramienta debe ampliarse a los demás sectores, debido a todos los beneficios que incorpora y ser fuente de ventaja competitiva, convirtiéndose en prioridad y conversación obligada dentro del debate estratégico -- El presente trabajo tiene por objeto implementar un modelo de simulación a cinco años para una compañía colombiana de consumo masivo, incorporando los riesgos a los que está expuesta para determinar las probabilidades que se tienen de alcanzar las metas de margen EBIT, ROCE y flujo de caja -- Además, pretende servir como primera aproximación para un sistema de administración de riesgos en la compañía -- A través de simulación de Montecarlo, se encontraron las distribuciones de probabilidad de estas variables para el quinto año de proyección, su valor en riesgo y se construyó un escenario de stress testing para la variable con mayor impacto sobre los resultados -- El estudio permite evidenciar que la compañía estudiada presenta una alta volatilidad en sus resultados, producto del comportamiento del costo de la materia prima principal -- Además, los resultados indican que las probabilidades de alcanzar las metas financieras establecidas son bajas
  • No hay miniatura disponible
    Ítem
    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
  • No hay miniatura disponible
    Ítem
    Herramienta para el cálculo del valor en riesgo paramétrico en una aseguradora colombiana
    (Universidad EAFIT, 2018) Bedoya Caro, Mateo; Sánchez Aristizábal, Diana
  • No hay miniatura disponible
    Ítem
    Portafolio de inversión para la empresa objeto de estudio con base en la gestión de riesgo
    (Universidad EAFIT, 2013) Ramírez Restrepo, David Alejandro; Pérez Maya, Catalina; Torres Oke, Sebastián
    This investigation will focus in the analysis of the financial current situation of the Company Studied, company of the royal sector focused in the construction of furniture managerial and personalized according to requirements of the client, who will allow the investigators to determine the quantities or surpluses of liquidity of the company and his horizons of investment of agreement to before established times -- Granting to us the possibility of formulating an ideal portfolio of investment, for a profile of certain risk, taking about the profile of the company that we suppose to study, which bears methodologies in mind for construction of ideal portfolio, by means of a selection of ideal assets, which allows the obtaining of the Value in Risk and analysis of Risks in general achieving an offer of value that allows the High Management of the company to determine his aims or investment horizons linked with a narrow knowledge of the risks, associated with these decisions -- In turn, there will be given them the possibility of having an own manual of investments that it allows them to identify, to measure and to monitor the realized investments and his correlation with the profile of the investor thrown by the survey -- This complete analysis of the current situation and the offer of investment of current remnants will allow The Company to take advantage of the different alternatives of investment that the stock market presents today and that is not included up to this moment in the Management of Value associated with the financial planner of the company