Maestría en Administración Financiera (tesis)
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Publicación Modelos de riesgo crediticio para reducir el riesgo de crédito en la cartera hipotecaria del Banco Unión(Universidad EAFIT, 2026-02-26) Córdoba Ruiz, Ana Patricia; Rojas Ormaza, Brayan RicardoBanco Unión’s mortgage portfolio has increased its exposure to risk as a result of post-pandemic economic uncertainty, evidenced by higher unemployment levels, inflationary pressures, and sustained increases in interest rates. Within this context, the study examines credit risk models designed to enhance the predictive capacity of portfolio deterioration and to support decision-making in the management of mortgage portfolios. The analysis relies on a historical database provided by Banco Unión, which contains information on performing and impaired mortgage loans. This dataset includes macroeconomic variables, credit-specific attributes, and the sociodemographic and financial characteristics of borrowers. From a methodological perspective, a binary Logit model was estimated to assess the probability of default, analyzing the marginal impact of key factors such as income level, interest rate, macroeconomic conditions, and loan maturity. In addition, a Decision Tree model was implemented on the KNIME platform using AutoML techniques, following sample balancing procedures. The predictive performance of the models was evaluated using standard metrics in the financial sector: the area under the ROC curve (AUC), sensitivity (recall), and precision. The results show that the Logit model provides a strong explanatory framework for the determinants of credit risk, while the Decision Tree exhibits greater sensitivity in identifying impaired borrowers while maintaining high levels of precision. By combining both perspectives, Banco Unión gains a more robust analytical tool to anticipate portfolio deterioration, improve customer segmentation, and strengthen credit risk monitoring and mitigation strategies in a changing economic environment, thereby aligning statistical standards with operational and regulatory criteria.Publicación Modelo back office en una compañía de telecomunicaciones con crecimiento escalonado (acelerado). Aspectos financieros clave y administración financiera(Universidad EAFIT, 2026-03-22) Castillo Zapata, Ricardo Ancizar; Pérez Arbeláez, SebastiánGiven the dynamic and highly competitive nature of startups in the telecommunications sector, it is crucial to establish an administrative and financial system that can sustain the rapid pace of expansion without compromising the operational efficiency or financial stability of the company. This study focuses on identifying the key financial aspects that must be carefully managed in a rapidly growing environment, including cash flow management, cost optimization, budget planning, and financial control. The proposed model seeks to improve efficiency in internal processes, ensure long-term financial sustainability, and enable more informed and strategic decision-making. This work not only offers practical guidance for other telecommunications startups facing similar challenges, but also contributes to the body of knowledge on financial management in fast-growing business environments.Publicación Factoring titularizado como instrumento de diversificación. Impacto en riesgo y retorno en portafolios de acciones colombianas y bonos TES, 2019-2025(Universidad EAFIT, 2026-02-26) Arenas Gómez, Mateo; Berón Salazar, Julián Andrés; Arenas Gómez, Camilo JoséThis 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.Publicación Modelación de los mercados accionarios de Estados Unidos, Brasil, Chile y Colombia mediante ecuaciones diferenciales estocásticas de segundo orden : un enfoque no paramétrico en contextos de volatilidad política-económica(Universidad EAFIT, 2026-03-12) Tavera Pérez, Fausto Dario; Pérez Monsalve, Juan PabloThis study models the volatility dynamics of the stock markets of the United States, Brazil, Chile, and Colombia during recent presidential election periods using stochastic processes and nonparametric statistics. The S&P 500, BOVESPA, IPSA, and COLCAP indices are analyzed through second-order stochastic differential equations and Nadaraya-Watson nonparametric estimators to identify differences in volatility structures between developed and emerging markets. Results reveal differentiated patterns of volatility persistence and transmission across markets, with greater intensity during preelectoral periods. These findings are useful for institutional investors and portfolio managers in the design of hedging strategies during electoral cycles, as well as for financial regulators and central banks interested in minimizing market disruptions associated with political uncertainty.Publicación Impact of Colombian financial sector conglomerates from a systemic risk perspective A consolidated supervisory viewpoint(Universidad EAFIT, 2026-01-13) Rios Acevedo, Mariana; Durango Gutiérrez, María PatriciaPublicación Relación entre los criterios ESG y el desarrollo de mercado de capitales en los países del G8 : un análisis de datos panel(Universidad EAFIT, 2026-03-03) Vélez Vélez, María Paulina; Jaramillo Guerra, Estiven; Téllez Falla, Diego Fernando; Restrepo Ochoa, Diana ConstanzaThis study examines the relationship between environmental, social, and governance (ESG) criteria and capital market development in G8 countries, using stock market capitalization as a percentage of GDP as the primary indicator. Although ESG criteria have gained increasing relevance due to their association with lower risk and enhanced stability, uncertainty persists regarding their actual impact at the country level. The analysis integrates ESG and macroeconomic variables within a panel data framework. The findings indicate that, over the period examined, ESG criteria do not demonstrate a clear or statistically significant relationship with the development of capital markets in the G8 countries, whereas certain macroeconomic variables exhibit greater explanatory power. Furthermore, alternative model specifications employing different dependent variables do not produce robust or consistent results. Overall, the evidence suggests that the effects of ESG factors may operate indirectly or materialize over longer time horizons, highlighting the need for more flexible methodological approaches and extended periods of analysis to better capture their potential influence on financial development.Publicación Modelo de proyecciones financieras a mediano plazo para Prime Meats LLC(Universidad EAFIT, 2026-02-10) Álvarez Paneso, Valentina Liney; Herrera Echeverri, Hernán HumbertoPublicación Gestión de riesgos financieros y sostenibilidad en concesiones viales en Colombia : un análisis aplicado a un proyecto expuesto a riesgo de tasa de interés y tasa de cambio(Universidad EAFIT, 2026-01-30) Chiquiza Vergara, Alexandra; Villamil Villamil, Fernando AlonsoThe financial sustainability of road infrastructure projects in Colombia is affected by their exposure to market risks such as interest rate and exchange rate volatility. This research analyzes the effectiveness of using financial derivatives as a hedging strategy against such risks. A 30-year financial model was developed, incorporating sensitivity scenarios based on key reference rates. Structures with and without financial hedging were compared. The data used included historical interest and exchange rates, macroeconomic variables, and real cash flows from concession contracts. Results show that a mixed debt structure (COP and USD) can offer benefits equivalent to fully dollar-denominated debt combined with exchange rate hedging. Furthermore, the use of derivatives helps stabilize key indicators even under adverse conditions. It is concluded that financial hedging improves project viability and strengthens cash flow stability.Publicación Análisis de la mora en créditos educativos universitarios : identificación de patrones y recomendaciones para la mitigación(Universidad EAFIT, 2026-01-15) Arias Rios, María Eugenia; Gutiérrez Moscoso, CatalinaThis study examines the delinquent portfolio of the internal financing line of a private university in Medellín, aiming to identify patterns associated with default and to estimate the portfolio’s expected loss. Historical data from credits granted between 2022 and 2025 were used, incorporating academic, financial, and socioeconomic variables of students and payment guarantors. The research integrates a descriptive analysis with a predictive model based on logistic regression to estimate the probability of default (PD), exposure at default (EAD), and loss given default (LGD). Results indicate that delinquency is concentrated in specific beneficiary segments and that relevant differences exist across academic levels and credit modalities. The study concludes that ensuring the sustainability of the financing program requires strengthening origination, monitoring, and collection processes through differentiated strategies aligned with the identified risk profiles.Publicación Incidencia de la política monetaria y los indicadores de crecimiento económico sobre el riesgo de liquidez en instituciones financieras de Colombia(Universidad EAFIT, 2025-11-25) Cardona Baquero, Giovanny; Cruz Castañeda, VivianThis research analyzes the impact of changes in monetary policy and economic growth indicators on the Liquidity Risk Index (IRL) of financial institutions in Colombia, considering their implications for banking liquidity and financial stability. A database containing macroeconomic information and financial reports from selected banks for the period March 2020–December 2024 was used. Statistical and econometric techniques, such as multiple regression and vector autoregressive (VAR) models, were applied to examine how macroeconomic indicators affect the liquidity of these institutions. The results show that liquidity risk in Colombia is strongly influenced by macroeconomic factors, particularly interest rates and inflation, which exert significant effects on the IRL, while the non-performing loan ratio (ICV) reflects the influence of the general economic environment. In contrast, variables such as the fixed-term deposit rate (DTF) and unemployment do not show statistically significant effects. These findings highlight the importance of maintaining macroeconomic stability to reduce liquidity risk in financial institutions.Publicación Estructura óptima de capital para las empresas del sector de seguridad privada en Colombia(Universidad EAFIT, 2026-01-29) Córdoba Avendaño, Diego Fernando; Salas Achinte, Wilson Stiven; Arias Sánchez, Juan ManuelThe private security and surveillance sector in Latin America has experienced significant expansion driven by rising urban crime, changes in state security policies, and regional economic growth. This context generates increasing pressure on governments and private organizations to respond to new threats and a sustained demand for protection services. However, the sector's dynamism coexists with financial challenges stemming from technological transformation, intensified operational risk, and the need to modernize service delivery models. In this scenario, capital structure emerges as a key factor for competitiveness, since an inadequate configuration can affect business valuation, financial sustainability, and the ability to leverage new projects. Therefore, the search for an optimal capital architecture becomes a strategic imperative for companies in the sector. This thesis proposes a methodological framework aimed at evaluating financing alternatives from a comprehensive perspective, incorporating variables such as cost of capital, profitability, and operational risk. The analysis also highlights the importance of indicators such as financial leverage, liquidity, and economic performance as tools for assessing the viability and financial strength of organizations. Overall, the analysis demonstrates that a deep understanding of capital structure is not only necessary to meet the challenges of the environment but also to ensure sound financial decision-making in a sector characterized by its increasing complexity and social relevance.Publicación Impacto de las economías de escala en el mejoramiento del margen de contribución directa total bruto : estudio de caso en la Universidad EAFIT(Universidad EAFIT, 2026-01-27) Ortiz Marín, Gabriel Jaime; Garzón Lasso, Fernando AlexanderPublicación Impacto de las calificaciones ASG en el desempeño financiero de portafolios del Índice S&P500 (2015–2024)(Universidad EAFIT, 2025-02-26) Guerrero Díaz, José Antonio; Zora Arce, Álvaro José; Jaramillo Mejía, AlejandroThis study analyzes the impact of Environmental, Social, and Governance (ESG) ratings on the financial performance of companies within the S&P 500 index, considering their behavior at the sectoral level. Firms are classified into terciles based on the Bloomberg ESG Disclosure Score, constructing high-, medium-, and low-rated portfolios under both equal-weighted and market capitalization-weighted schemes. Performance metrics such as annualized return, volatility, Sharpe ratio, maximum drawdown, and the ESG premium are evaluated over the 2015–2024 period. The research integrates Modern Portfolio Theory with robust statistical testing to determine whether ESG contributes consistent financial value and whether its effect varies across sectors, providing relevant evidence for passive investment management strategies.Publicación Metodología para la evaluación del riesgo de concentración sectorial en el portafolio de crédito de Bancolombia bajo el Marco de Basilea(Universidad EAFIT, 2025-10) Sáenz Cubillos, Diego Alberto; Salinas Gil, Sergio Andrés; Rojas Ormaza, Brayan Ricardo; Durango Gutiérrez, María PatriciaThis paper analyzes the sector concentration risk in Bancolombia's commercial credit portfolio and its impact on the additional capital required under the Basel regulatory framework. The study poses the following central question: What level of sector concentration does Bancolombia have and how does this impact its economic capital requirements? To answer this question, sector portfolio data, risk parameters (probability of default PD, loss given default LGD, and exposure at default EAD), and current regulations were used. The methodology combines concentration indicators (Herfindahl-Hirschman, Gini, and Theil), sector stress simulations, and economic capital models such as the Asymptotic Single Risk Factor (ASRF) and its multifactor extension. This approach allows for comparing real-life scenarios with counterfactual diversification scenarios, identifying the sectors that contribute most to concentration risk, and estimating the additional capital required. The results seek to provide guidelines for strengthening risk management within the framework of the Internal Capital Adequacy Assessment Process (ICAAP) and, thereby, contribute to the entity's financial stability.Publicación Maf Challenge - Retornos de equilibrio para multiactivos(Universidad EAFIT, 2025-11-27) Giraldo García, María Alejandra; Aristizábal Arango, Daniel; Giraldo Restrepo, María Alejandra; Mejía Escobar, Juan Camilo; Grajales Correa, Carlos Alexander; Durango Gutiérrez, María PatriciaThis study develops a quantitative model to estimate equilibrium returns in multi-asset portfolios by integrating the Arbitrage Pricing Theory (APT) with the machine learning algorithm Extreme Gradient Boosting (XGBoost). The model incorporates monetary, real, financial, and expectation-based macroeconomic factors—such as inflation, employment, monetary policy, liquidity, credit spreads, and consumer sentiment—classified as leading, coincident, or lagging. The inclusion of lag structures captures the gradual transmission of macroeconomic shocks, while XGBoost identifies nonlinear patterns and complex interactions among variables. This hybrid framework allows for the estimation of factor sensitivities (betas) and risk premia (λ), producing return estimates consistent with a multifactor equilibrium. The methodology is applied to liquidity instruments, sovereign bonds, high-yield credit, emerging market debt, REITs, and global equities. Results show that both macroeconomic fundamentals and investors’ expectations play a central role in determining expected returns, highlighting the relevance of combining economic theory with modern machine learning techniques.Publicación Análisis de cobertura de créditos constructores, mediante derivados financieros pata mitigar el riesgo inflacionario(Universidad EAFIT, 2025-11) Urango Romero, Fray David; Palacio López, Sebastián; Cardona Llano, Juan FelipeThis study aims to design and evaluate hedging strategies using financial derivatives available in the Colombian market, with the objective of converting inflation-indexed construction loans into fixed-rate debt, thereby mitigating the impact of inflation fluctuations on the total financing cost. A real construction loan from a housing project will be used as a reference, and historical data on inflation, UVR, and IBR will be collected, along with derivative prices offered by financial institutions in Colombia. Through financial simulations, scenarios with and without hedging will be compared, analyzing their effect on cash flow and the total cost of the loan. The expected outcome is to demonstrate that, through the use of derivatives, it is possible to stabilize payments, optimize financial planning, and propose a hedging strategy to improve inflation risk management and enhance the financial stability of projects.Publicación Credit-linked notes (CLN) como mecanismo alternativo de financiación para proyectos concesionados de infraestructura vial en Colombia(Universidad EAFIT, 2025-11-11) Riascos Vallejo, Sara; Mejía Mora, Johnatan; González García, John FredyThis research explores the use of credit-linked notes (CLN) as an alternative financing mechanism for public-private partnerships (PPPs) in road infrastructure projects in Colombia. Using an exploratory and descriptive approach, the study analyzes the structural characteristics of CLN, the country's financial and regulatory environment, and their applicability within the context of road concessions. Secondary sources, document analysis, and relevant case studies are used to identify barriers and opportunities for implementation. The objective is to propose a conceptual model to evaluate the feasibility of using CLN as a complementary instrument to existing financing schemes, with the aim of increasing capital market participation and strengthening the financial sustainability of road infrastructure projects in Colombia.Publicación Creación de valor en desinversiones : estudio de la venta de Summit Materials por Cementos Argos(Universidad EAFIT, 2025-11-11) Lopera Cuartas, Ángelo; González Rios, Ricardo; Correa García, Jaime AndrésThis study evaluates the financial value creation derived from Cementos Argos’ divestment of its stake in Summit Materials following their integration within the U.S. cement market and its subsequent acquisition by Quikrete Holdings. Using a mixed-method approach that combines financial, comparative, and sensitivity analyses, the research examines key indicators such as Economic Value Added (EVA), Return on Investment (ROI), EBITDA, and stock market performance. The results show a return above the sector average, with an internal rate of return (IRR) of 39% and a 43% increase in share value, confirming efficient capital management and tangible value creation for shareholders. This study provides empirical evidence that mergers and divestitures, when managed with financial discipline, effective integration, and strategic alignment, can serve as sustainable mechanisms for long-term value creation in capital-intensive industriesPublicación Desempeño financiero de las empresas BIC en Colombia : estudio comparativo de las empresas BIC vs sus pares no BIC desde la vigencia de la ley a cierre 2024(Universidad EAFIT, 2025-11-18) Dueñas Rios, Jennyfer Milena; Ruiz Vanegas, Laura Juliana; Restrepo Ochoa, Diana Constanza; Téllez Falla, Diego FernandoPublicación Modelo de gestión de riesgos de la volatilidad del precio internacional del maíz a través de derivados financieros para la empresa Avícola del Darién S. A.(Universidad EAFIT, 2025-11-27) Díez López, Simón; Sánchez Sierra, Luis Alberto; Orozco Echeverry, César AugustoYellow corn, a staple in the Colombian diet, is used in the production of concentrated animal feed, especially in the poultry and swine industries, and, to a lesser extent, in products for human consumption. This reality creates a significant dependence on corn imports, which account for approximately 86% of total national demand, and exposes the country to marked vulnerability to the volatility of international prices, which increased by 31% between 2019 and 2023. Furthermore, such environment presents considerable risks to the business models of the agricultural sector, prompting the need for studies that propose measures to manage and mitigate these risks. This research analyzes and proposes risk management strategies to help mitigate the effects of international corn price volatility on the Colombian poultry sector, based on the guiding question: What risk management strategies are most applicable and efficient for a poultry company in Colombia in the face of international corn price volatility? Its objective is to identify tools and strategies applicable to poultry companies to assess their financial impact and facilitate decision-making, contributing to their sustainability in the current context of international corn prices.