Maestría en Administración Financiera (tesis)

URI permanente para esta colección

https://hdl.handle.net/10784/92

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Mostrando 1 - 20 de 1169

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, Catalina
This 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.
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, Vivian
This 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.
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 Manuel
The 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.
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 Alexander
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, Alejandro
This 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.
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 Patricia
This 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.
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 Patricia
This 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.
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 Felipe
This 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.
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 Fredy
This 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.
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 Andrés
This 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 industries
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 Fernando
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 Augusto
Yellow 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.
Liderazgo femenino y desempeño financiero en las mipymes. Estudio para empresas colombianas
(Universidad EAFIT, 2025-12-03) Carrillo González, Daniel Felipe; Díaz Osorio, Jessica Valentina; Yepes Raigosa, David Alejandro; Cruz Castañeda, Vivian
This study analyzes the influence of female leadership on the financial performance of MSMEs (micro, small and medium enterprises) in five Colombian cities. The methodology combines OLS (ordinary least square) models, panel data, and Oaxaca-Blinder decomposition to evaluate the relationship between gender and financial outcomes, using indicators such as ROA, ROE, debt ratios, liquidity and operating margins. The findings show that in cities such as Armenia and Manizales, women-led firms maintain controlled debt levels and report positive margins. However, this pattern does not occur across all sectors. In the consulting and construction sectors, significant negative gaps are observed in comparison to male-led firms, indicating additional barriers for women. The Oaxaca-Blinder decomposition reveals that more than 85% of these differences stem from unexplained factors associated with cultural and structural obstacles. In conclusion, female leadership contributes to prudent and sustainable financial management but still faces limitations that affect performance in certain economic sectors.
Derivados financieros como herramientas para mitigar el riesgo cambiario en empresas de instrumentación y control industrial en Colombia
(Universidad EAFIT, 2025-11-30) García Santamaria, Juan Pablo; Molina Sierra, Luis Felipe
This research addresses exchange rate risk in Colombian companies in the industrial instrumentation and control sector, which are highly exposed to exchange rate volatility due to their dependence on foreign equipment and technology, thus impacting their financial stability. The lack of hedging strategies increases this exposure, generating uncertainty in cost management and profit margins. As an alternative to mitigate this risk, the research proposes the use of financial derivatives, instruments for managing exchange rate exposure that, despite being efficient in stabilizing costs and financial planning, exhibit limited implementation in the Colombian market due to a lack of knowledge. The research determines the implications of applying this strategy, providing an analysis to help Colombian companies in the sector make decisions regarding exchange rate risk management through financial derivatives.
Persistencia y eventos en el riesgo de crédito soberano de Estados Unidos : un enfoque fundamental y de aprendizaje automático aplicado a los CDS a 5 y 10 años
(Universidad EAFIT, 2025-12-01) González, María Alejandra; Sánchez Duque, Juan Manuel; Ruiz Montalvo, Diego Alejandro; Almonacid Hurtado, Paula María; Botero Ramírez, Juan Carlos
The objective of this work is to analyze the dynamics of US sovereign credit risk, measured by 5- and 10-year Credit Default Swaps (CDS), using both fundamental and machine learning approaches. The short-term analysis, using ADL, GARCH-MIDAS, and T-GARCH models, revealed that volatility and macroeconomic uncertainty (VIX, 3-month Treasury rate) have a detectable but limited effect on CDS. In the long term, level models (AR(1) and ARDL) demonstrated that the most stable and dominant factor is the CDS’s own temporal persistence (with a significant autoregressive coefficient). Findings conclude that the evolution of sovereign risk is primarily determined by its historical inertia and strong autocorrelation, implying that traditional economic fundamentals play a secondary role in determining current risk levels.
Relación entre los indicadores financieros y los indicadores de calidad institucional de instituciones de salud en Colombia
(Universidad EAFIT, 2025-11-19) Sierra Castillo, Santiago; Yepes Raigosa, David Alejandro
This study analyzed the relationship between financial indicators and quality-of-care indicators in healthcare provider institutions in Colombia during the 2016–2024 period. An analytical observational study was conducted using data from 20 institutions, applying descriptive statistics, correlation analyses, and multiple linear regression models. Financial indicators included profitability, liquidity, operational efficiency, and capital structure, while quality indicators encompassed timeliness, patient safety, patient experience, and continuity of care. The results showed that most associations were weak and not statistically significant. However, the operating margin was inversely related to surgical waiting times, and the liquidity ratio was associated with emergency department readmissions within 72 hours. It is concluded that financial indicators function as enabling conditions, whereas quality largely depends on the organization and coordination of clinical processes.
Estructura financiera y de producto de una compañía de renting de vehículos en Colombia, a través de un método econométrico
(Universidad EAFIT, 2024-06-28) Pabón Díaz, Yesly Tatiana; Durango Gutiérrez, María Patricia
This research work seeks to determine the ideal structure of a vehicle rental company from the perspective of financing sources and product structure that maximizes shareholder profitability, minimizes the cost of capital and is sustainable over time in the Colombian market. Since the purpose is not to be biased in the determination of the optimal business structure of vehicle leasing, a company will be created from scratch by applying the CAPM, Trade-off between debt and equity, Agency and Pecking Order theories to analyze the funding structure of this company, and the theories of Expected Utility, the Fisher International Effect and the Hedging theory for the approach of the ideal financial product. The result of the ideal structure will be contrasted with the sectorial trend given by the eleven companies with the highest participation in the vehicle rental market in Colombia.
Asignación óptima de activos para un fondo patrimonial en la Fundación Universidad de Antioquia (2026-2035)
(Universidad EAFIT, 2025-10-29) Vásquez Roldán, Fabio Andrés; Rodríguez Solano, Lizeth Fernanda; González Tabares, Carlos Eduardo
This study proposes the optimal asset allocation for an endowment fund at the Universidad de Antioquia Foundation, aimed at strengthening its financial sustainability during the period 2026-2035. The methodology combines Modern Portfolio Theory (Markowitz) with Monte Carlo simulations to evaluate portfolio performance under various economic scenarios. The approach is tailored to the risk profile and mission of a nonprofit entity in Colombia, drawing on best practices in endowment management. The study offers an efficient strategy for optimal asset allocation that reduces volatility and enhances the long-term financial sustainability of an endowment fund. It is applicable to nonprofit organizations seeking to generate recurring income, preserve capital, diversify funding sources, and fulfill their institutional mission. This study does not address tactical decisions, investment recommendations, or direct implementation. It is a practical and replicable tool aimed at supporting long-term financial planning in nonprofit organizations.
Estrategias de desinversión y captura de oportunidades en portafolios VC latinoamericanos
(Universidad EAFIT, 2025-10-29) Piedrahita Velásquez, Agustín; Botero Gaviria, Camilo
Over the last decade, venture capital (VC) in Latin America has grown significantly in funds, volume, and sophistication, yet many managers face a “gray zone” of operational startups with limited growth and no clear exit paths, immobilizing capital and delaying returns. This mixed-method, exploratory-descriptive study combines a quantitative analysis of regional VC portfolios with semi-structured interviews with fund managers to evaluate alternative liquidity mechanisms (secondary sales, continuation funds, hybrid structures) and their applicability in the region. The study aims to characterize the magnitude of this phenomenon, identify its barriers and opportunities, and propose guidelines for a hybrid financial vehicle designed to unlock retained value for investors and entrepreneurs, thereby strengthening the liquidity and sustainability of the VC ecosystem.
Modelo de optimización para la implementación de estrategias de cambios contractuales rentables
(Universidad EAFIT, 2025-10-28) Pinto Ramírez, Elid Saul; Téllez Falla, Diego Fernando

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