Maestría en Administración Financiera (tesis)
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Ítem Optimización del portafolio de clientes : caso aplicado a una empresa industrial colombiana(Universidad EAFIT, 2024) Valencia Franco, Juan Pablo; Téllez Falla, Diego FernandoThe portfolio theory constructed by Markowitz in 1952 has been for many years the basis for decision making in investment funds, which constantly evaluate assets and create portfolios that seek optimal performance between risk and profitability. However, in companies in the real sector these concepts have been little explored and developed. Consciously or not, every company has a portfolio, and the assets of that portfolio are its clients, which require an investment to be acquired and maintained, seeking in exchange future flows that exceed the cost of capital. The purpose of this work is to propose a methodology that allows business managers to apply these concepts in order to understand the composition of their client portfolio and make decisions that allow it to be optimized. In turn, we will test the effectiveness of this methodology in a Colombian industrial company.Ítem Relación entre la sostenibilidad y la liquidez bancaria : un análisis de las empresas del Euro Stoxx Banks index(Universidad EAFIT, 2024) Valencia Uribe, Ana María; Duque Villegas, Juan Carlos; Yepes Raigosa, David AlejandroLiquidity management is crucial for banking stability, especially in the context of recurring crises. This research analyzes the relationship between ESG (environmental, social, and governance) criteria and liquidity indicators in European banks from the EURO STOXX Banks Index between 2003 and 2022. Using econometric models such as Ordinary Least Squares (OLS) and Generalized Least Squares (GLS), liquidity ratios like the Capital Adequacy Ratio (CAR), the Liquidity Coverage Ratio (LCR), and the Loan-to-Asset Ratio (LAR) were examined. The results reveal a positive relationship between ESG scores and bank liquidity, particularly in institutions with higher environmental and social sustainability ratings. However, the governance dimension showed a less significant impact. Additionally, significant differences were observed in liquidity levels between institutions with high and low ESG scores. Banks with higher ESG scores tend to maintain better capital ratios and a greater liquidity coverage capacity, suggesting that sustainable practices may be associated with more prudent and stable financial management.Ítem 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 FelipeThis 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.Ítem Evaluación de la viabilidad financiera de una empresa en reorganización empresarial(Universidad EAFIT, 2024) Urrego Estrada, Deisy Johanna; Rivera Duque, Esteban; Restrepo Tobón, Diego AlexanderÍtem Un análisis de la estructura óptima de capital en la empresa CBW EAI S. A. S.(Universidad EAFIT, 2024) Hernández Avilez, Kelys Yohana; Támara Ayús, Armando LeninÍtem Impacto sobre la TRM del cambio gubernamental en Colombia, ocurrido en 2022, observado después de un año, a la luz de un valor justo(Universidad EAFIT, 2024) Restrepo Orrego, Marco Antonio; Cadavid Gil, AlejandroThis study explores the impact of Colombia's 2022 governmental shift on the exchange rate, using techniques like PCA, VaR, and econometric models. Results indicate the Colombian peso is undervalued in Forex markets, especially against countries with leftist governments. The observed market value surpasses its fair value, suggesting a potential narrowing gap towards stability. These insights are crucial for financial leaders, Forex investors, and policymakers in their decision-making processes.Ítem Efectos de la implementación del programa Investors Relations (IR) en la calificación de riesgo de los bancos en Colombia(Universidad EAFIT, 2024) Camacho Reyes, Isabella; Arias Villegas, Esteban; Téllez Falla, Diego Fernando; Cortés Durán, Lina MarcelaÍtem Estudio del sector agropecuario : impacto del tipo de cambio e impactos financieros en la importación de materias primas en Colombia(Universidad EAFIT, 2024) Londoño Gallego, Samuel; Benavides Sarmiento, John Edward; Correa Lafaurie, Luisa FernandaThe agricultural sector is crucial for sustainable and inclusive food systems, helping to reduce poverty, increase income, and improve food security for 80% of the world's most vulnerable population, primarily in rural areas (World Bank, 2023). This study analyzed the effects of exchange rates and financial aspects on the import of raw materials in Colombia's agricultural sector, using data from 2007 to 2023. The TRM was taken as the dependent variable, with Cereals, Fertilizers, and Inorganic Chemicals as independent variables. The analysis included descriptive statistics, multiple regression, and ANOVA. The results indicated that the Cereals variable was significant with a p-value of 0.023 in relation to the TRM, suggesting that an increase in cereal imports is associated with a decrease in the exchange rate. Additionally, it was concluded that TRM fluctuations do not fully explain the import of raw materials, suggesting that other external variables should also be considered.Ítem Modelo de retorno de equilibrio en la deuda americana(Universidad EAFIT, 2024) Montañez Díaz, Adrián Felipe; Angulo Forero, Santiago Felipe; Velásquez Durán, Isabella; Gallo Restrepo, Juan Carlos; Durango Gutiérrez, María Patricia; Díaz, WalterNowadays, many institutional investors use classic models, such as the Nelson-Siegel-Svensson model, which, through certain parameters, allow the estimation of the yield curve to make informed investment decisions. Despite the general approval of these models, the economic dynamics are changing, which is why, in this work, the nodes of the US yield curve were modeled through linear regression models, machine learning and deep learning, given a defined future scenario. With the result of the projection, the curve was generated by 4 methods, of which the cubic spline resulted to be the best fit.Ítem Evolución de la estructura de costos de las cámaras de comercio de Colombia frente a su generación de valor(Universidad EAFIT, 2024) Anacona Gómez, Yisel Alejandra; Valencia Ordoñez, Edwin René; Orozco Álvarez, Jorge EduardoÍtem Modelo de proyección financiera para el crecimiento sostenible de una empresa de productos químicos en Colombia(Universidad EAFIT, 2024) Castañeda Cabrera, Catalina; Uribe Varela, Juan MartínÍtem Predicción de quiebra de las IPS clasificadas como hospitales quirurgicos y medicina general del sector salud en Colombia(Universidad EAFIT, 2024) Vera Bocanegra, Alejandra; Ospina Roa, Mayra Alejandra; Támara Ayús, Armando LeninÍtem Modelo de optimización de portafolio renta fija por factores(Universidad EAFIT, 2024) Correa Restrepo, Daniel; Uribe Osorio, Camilo Mateo; González Jaramillo, Nicolás; Grajales Correa, Carlos Alexander; Botero Ramírez, Juan CarlosÍtem Medición y gestión del riesgo de crédito : proyecto vivienda, compañía sector constructor(Universidad EAFIT, 2024) García Rueda, María Alejandra; Vélez Martínez, Diana Carolina; Sánchez Ribero, Gustavo AlbertoÍtem Transformación de una empresa del sector de la construcción hacia un enfoque de generación de valor(Universidad EAFIT, 2024) Daza Verano, Leidy Johanna; Torres Hildalgo, Héctor Jesid; Betancur Rivera, Julián; Giraldo Ramírez, Kassandra; Londoño Murillo, José WilliamConstructora Colombia S.A., founded in 1965 by engineers Ignacio and Alirio Fuentes Echeverry in Antioquia, specializes in civil works and infrastructure, including concession contracts. This family-owned business, now led by the second generation of the family, maintains a focus on quality, innovation, and customer satisfaction, continuously expanding and adapting to new market demands. With a firm commitment to excellence and sustainability, it has established itself as one of the most respected companies in the construction sector in Antioquia. Identifying and overcoming barriers to value generation in this sector is crucial to improving the company's financial prospects. To achieve this, the structuring of a comprehensive management model through diagnostics of financial statements, examination of the country's economic outlook, and corporate governance management is essential. In this way, the company can optimize its operations, generate value, strengthen its market position, and significantly contribute to the country's economic growth and sustainability.Ítem Formulación de un caso de inversión en la fintech colombiana Agricapital(Universidad EAFIT, 2024) Arango Restrepo, Luis José; Castrillón Velásquez, Antonio; Correa Lafaurie, Luisa FernandaÍtem Nivel de riesgo de mercado en el sector eléctrico colombiano considerando el impacto de los eventos climáticos, la hidrología y la generación térmica en el sistema interconectado nacional(Universidad EAFIT, 2024) Bermúdez Álvarez, Natalia; Restrepo Cardona, Laura; Peña Higuavita, Germán AdolfoThe present work focuses on evaluating the level of market risk in the Colombian electrical sector, taking into account the impact of hydrological conditions on the National Interconnected System, thermal generation, and climatic events such as El Niño-Southern Oscillation (ENSO). The study will identify the variables that influence the volatility of energy prices on the stock exchange. Using an EWMA and GARCH model, the volatility of energy prices on the stock exchange will be calculated for the period from January 2015 to May 2024. Additionally, the correlation between the stock exchange energy price, the percentage of useful volume of the reservoirs, and thermal generation will be analyzed, with the aim of understanding how these conditions affect market risk in the electrical sector. The results obtained will contribute to the formulation of more effective strategies for risk management in the Colombian electrical market.Ítem Diseño de una nueva metodología de gestión de riesgos cambiarios para empresas de comercio exterior en Colombia(Universidad EAFIT, 2024) Villegas Muñoz, Carolina Andrea; Hernández Elorza, Juan Pablo; Sánchez Ribero, Gustavo AlbertoÍtem Optimizando la gestión de portafolios con inversión responsable y finanzas sostenibles(Universidad EAFIT, 2024) Arroyave Giraldo, Natalia; Escobar Tabares, NataliaÍtem Evolución estratégica de Celsia y su impacto en el desempeño financiero y generación de valor(Universidad EAFIT, 2024) Gómez Rodríguez, Daniel Mauricio; Puentes García, Carolina; Álzate Naranjo, Miguel Ángel; Vidarte González, Juan José; Velásquez Mejía, María AdelaidaTaking into account the strategic relevance of Celsia's investment and divestment decisions, this article aims to assess the financial impact of its strategic evolution on value creation. This is achieved through an in-depth analysis of the strategic changes Celsia has undergone, which have been accompanied by inorganic growth through investments and divestments (M&A). The methodology used is a case study, utilizing data from articles, reports, financial statements, news, and interviews with company executives. It is found that the strategic direction has been influenced by three rationales: investment and divestment (M&A), consolidation and expansion of the energy operating business, and transformation towards becoming an asset manager. This analysis allows us to conclude that the strategic decisions made by Celsia throughout its history have positively impacted the company's value creation for the evaluated period from 2007 to 2023.