Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]

In order to manage the different types of financial risks to which the entities of the sector are exposed on a daily basis, different national and international regulatory organizations have developed a set of monitoring and control tools in which the quantification of risks is vital for financial i...

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Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad de Medellín
Repositorio:
Repositorio UDEM
Idioma:
spa
OAI Identifier:
oai:repository.udem.edu.co:11407/4899
Acceso en línea:
http://hdl.handle.net/11407/4899
Palabra clave:
Liquidity risk
Market risk
Operational risk
Software engineering
Software suite
Commerce
Finance
Information systems
Information use
Software engineering
Financial institution
Liquidity risk
Market risks
Monitoring and control
Operational risks
Regulatory organizations
Risk mitigation
Software suite
Risk assessment
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License
http://purl.org/coar/access_right/c_16ec
id REPOUDEM2_a92c2194fc6cf5931608fa922199c41d
oai_identifier_str oai:repository.udem.edu.co:11407/4899
network_acronym_str REPOUDEM2
network_name_str Repositorio UDEM
repository_id_str
dc.title.spa.fl_str_mv Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
title Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
spellingShingle Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
Liquidity risk
Market risk
Operational risk
Software engineering
Software suite
Commerce
Finance
Information systems
Information use
Software engineering
Financial institution
Liquidity risk
Market risks
Monitoring and control
Operational risks
Regulatory organizations
Risk mitigation
Software suite
Risk assessment
title_short Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
title_full Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
title_fullStr Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
title_full_unstemmed Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
title_sort Software suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]
dc.contributor.affiliation.spa.fl_str_mv Arias-Serna, M.A., Universidad de Medellín;Caro-Lopera, F.J., Universidad de Medellín;Castaneda-Palacio, D.A., Universidad de Medellín;Murillo-Gomez, J.G., Universidad de Medellín;Toro, L.T., Universidad de Medellín
dc.subject.spa.fl_str_mv Liquidity risk
Market risk
Operational risk
Software engineering
Software suite
Commerce
Finance
Information systems
Information use
Software engineering
Financial institution
Liquidity risk
Market risks
Monitoring and control
Operational risks
Regulatory organizations
Risk mitigation
Software suite
Risk assessment
topic Liquidity risk
Market risk
Operational risk
Software engineering
Software suite
Commerce
Finance
Information systems
Information use
Software engineering
Financial institution
Liquidity risk
Market risks
Monitoring and control
Operational risks
Regulatory organizations
Risk mitigation
Software suite
Risk assessment
description In order to manage the different types of financial risks to which the entities of the sector are exposed on a daily basis, different national and international regulatory organizations have developed a set of monitoring and control tools in which the quantification of risks is vital for financial institutions as this allows calculating their probable losses, and subsequently allows defining and implementing procedures that contemplate the definition of general policies and risk mitigation. In coordination with these tools at the University of Medellin, a software tool called SICRIF has been developed, which has been designed as a suite composed of specialized modules that allow the quantification of liquidity risk, market risk and operational risk. © 2018 AISTI.
publishDate 2018
dc.date.accessioned.none.fl_str_mv 2018-10-31T13:44:23Z
dc.date.available.none.fl_str_mv 2018-10-31T13:44:23Z
dc.date.created.none.fl_str_mv 2018
dc.type.eng.fl_str_mv Conference Paper
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_c94f
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/conferenceObject
dc.identifier.isbn.none.fl_str_mv 9789899843486
dc.identifier.issn.none.fl_str_mv 21660727
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/11407/4899
dc.identifier.doi.none.fl_str_mv 10.23919/CISTI.2018.8399143
identifier_str_mv 9789899843486
21660727
10.23919/CISTI.2018.8399143
url http://hdl.handle.net/11407/4899
dc.language.iso.none.fl_str_mv spa
language spa
dc.relation.isversionof.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049901304&doi=10.23919%2fCISTI.2018.8399143&partnerID=40&md5=c5aed7bcc8907e03a3a8dfe97b7b5e67
dc.relation.citationvolume.spa.fl_str_mv 2018-June
dc.relation.citationstartpage.spa.fl_str_mv 1
dc.relation.citationendpage.spa.fl_str_mv 6
dc.relation.ispartofes.spa.fl_str_mv Iberian Conference on Information Systems and Technologies, CISTI
dc.relation.references.spa.fl_str_mv Cousin, A., Di Bernardino, E., On multivariate extensions of Valueat-Risk (2013) Journal of Multivariate Analysis, (119), pp. 32-46;Alexander, C., (2008) Market Risk Analysis IV: Value-at-risk Models, , Wiley Finance Series 4 ed., Chichester: John Wiley &Sons;(2015) Quantitative Risk Management: Concepts, Techniques and Tools, , R. F. a. P. E. A. J. McNeil Princeton, New Jersey: Princeton university press;(2005) Quantitative Risk Management: Conceptos, Techniques, and Tools., , A. F. R. a. E. P. McNeil United Kindom, : Princeton University Press;(2001) Value at Risk Models in Finance, , b. S. M. a. R. F. Engle;Melo Velandia, L.F., Becerra Camargo, O.R., Medidas de riesgo, caracteristicas y técnicas de medición: Una aplicación del VaR y el ES a la tasa interbancaria de Colombia (2005) Borradores de Economía, N 343, pp. 1-75;Chica, B.M., Arboleda, L.I., Marín, V.I.C., Gestión del Riesgo de Mercago como herramienta de estabilidad económica: El caso colombiano (2016) AD-Minister, pp. 1-12;Yang, T.Y., Measurement of yield distribution: A time-varying distribution model (2011) Agricultural and Applied Economics Association, p. 20;Hernández, P.F., Sotirova, S., (2015) Algunas Consideraciones para Modelizar El Riesgo de Mercado Mediante la Técnica VaR. Aplicación para El Caso Español, , Jaén;Alonso, J.C., Arcos, M.A., Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia (2016) Estudios Gerenciales, 22 (100), pp. 103-123;De Haro, L.A., (2008) Medición y Control de Riesgos Financieros, , Tercera ed., Mexico D.F.: Limusa;Castillo Huerta, E.R., Generalizaciones de la metodología var para el análisis de riesgos de fondeo, liquidez y margén financiero (2008) Revista de Administracíon, Finanzas y Economía (Journal of Management, Finance and Economics), pp. 1-8;Echeverri-Arias, J.A., Arias-Serna, M.A., Murillo-Gómez, J.G., Klein, C., Franco-Arbelaez, L.C., Design of information system for the Liquidity Risk Management in financial institutions (2015) De 10th Iberian Conference on Information Systems and Technologies (CISTI), Portugal;Murillo-Gómez, J.G., Franco-Arbeláez, L.C., Arias-Serna, M.A., (2014) Riesgo Operativo: Técnicas de Modelación Cuantitativa, , Medellín: Sello editorial Universidad de Medellín;Arias-Serna, M.A., Caro-Lopera, F.J., Castañeda, D.A., Murillo-Gómez, J.G., Echeverri-Arias, J.A., Information system for the quantification of financial risk (2017) De 12th Iberian Conference on Information Systems and Technologies (CISTI), Lisbón;Arias-Serna, M.A., Caro-Lopera, F.J., Murillo-Gómez, J.G., Franco-Arboleda, L.C., Echeverri-Arias, J.A., Information system for the quantification of operational risk in financial institutions (2016) De 11th Iberian Conference on Information Systems and Technologies (CISTI), , Gran Canaria;Lechner, L.A., Value-at-risk (2010) Journal of Risk Finance, 11 (5), pp. 464-480
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv IEEE Computer Society
dc.publisher.program.spa.fl_str_mv Ingeniería Financiera;Ciencias Básicas
dc.publisher.faculty.spa.fl_str_mv Facultad de Ingenierías;Facultad de Ciencias Básicas
dc.source.spa.fl_str_mv Scopus
institution Universidad de Medellín
repository.name.fl_str_mv Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv repositorio@udem.edu.co
_version_ 1808481158331105280
spelling 2018-10-31T13:44:23Z2018-10-31T13:44:23Z2018978989984348621660727http://hdl.handle.net/11407/489910.23919/CISTI.2018.8399143In order to manage the different types of financial risks to which the entities of the sector are exposed on a daily basis, different national and international regulatory organizations have developed a set of monitoring and control tools in which the quantification of risks is vital for financial institutions as this allows calculating their probable losses, and subsequently allows defining and implementing procedures that contemplate the definition of general policies and risk mitigation. In coordination with these tools at the University of Medellin, a software tool called SICRIF has been developed, which has been designed as a suite composed of specialized modules that allow the quantification of liquidity risk, market risk and operational risk. © 2018 AISTI.spaIEEE Computer SocietyIngeniería Financiera;Ciencias BásicasFacultad de Ingenierías;Facultad de Ciencias Básicashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85049901304&doi=10.23919%2fCISTI.2018.8399143&partnerID=40&md5=c5aed7bcc8907e03a3a8dfe97b7b5e672018-June16Iberian Conference on Information Systems and Technologies, CISTICousin, A., Di Bernardino, E., On multivariate extensions of Valueat-Risk (2013) Journal of Multivariate Analysis, (119), pp. 32-46;Alexander, C., (2008) Market Risk Analysis IV: Value-at-risk Models, , Wiley Finance Series 4 ed., Chichester: John Wiley &Sons;(2015) Quantitative Risk Management: Concepts, Techniques and Tools, , R. F. a. P. E. A. J. McNeil Princeton, New Jersey: Princeton university press;(2005) Quantitative Risk Management: Conceptos, Techniques, and Tools., , A. F. R. a. E. P. McNeil United Kindom, : Princeton University Press;(2001) Value at Risk Models in Finance, , b. S. M. a. R. F. Engle;Melo Velandia, L.F., Becerra Camargo, O.R., Medidas de riesgo, caracteristicas y técnicas de medición: Una aplicación del VaR y el ES a la tasa interbancaria de Colombia (2005) Borradores de Economía, N 343, pp. 1-75;Chica, B.M., Arboleda, L.I., Marín, V.I.C., Gestión del Riesgo de Mercago como herramienta de estabilidad económica: El caso colombiano (2016) AD-Minister, pp. 1-12;Yang, T.Y., Measurement of yield distribution: A time-varying distribution model (2011) Agricultural and Applied Economics Association, p. 20;Hernández, P.F., Sotirova, S., (2015) Algunas Consideraciones para Modelizar El Riesgo de Mercado Mediante la Técnica VaR. Aplicación para El Caso Español, , Jaén;Alonso, J.C., Arcos, M.A., Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia (2016) Estudios Gerenciales, 22 (100), pp. 103-123;De Haro, L.A., (2008) Medición y Control de Riesgos Financieros, , Tercera ed., Mexico D.F.: Limusa;Castillo Huerta, E.R., Generalizaciones de la metodología var para el análisis de riesgos de fondeo, liquidez y margén financiero (2008) Revista de Administracíon, Finanzas y Economía (Journal of Management, Finance and Economics), pp. 1-8;Echeverri-Arias, J.A., Arias-Serna, M.A., Murillo-Gómez, J.G., Klein, C., Franco-Arbelaez, L.C., Design of information system for the Liquidity Risk Management in financial institutions (2015) De 10th Iberian Conference on Information Systems and Technologies (CISTI), Portugal;Murillo-Gómez, J.G., Franco-Arbeláez, L.C., Arias-Serna, M.A., (2014) Riesgo Operativo: Técnicas de Modelación Cuantitativa, , Medellín: Sello editorial Universidad de Medellín;Arias-Serna, M.A., Caro-Lopera, F.J., Castañeda, D.A., Murillo-Gómez, J.G., Echeverri-Arias, J.A., Information system for the quantification of financial risk (2017) De 12th Iberian Conference on Information Systems and Technologies (CISTI), Lisbón;Arias-Serna, M.A., Caro-Lopera, F.J., Murillo-Gómez, J.G., Franco-Arboleda, L.C., Echeverri-Arias, J.A., Information system for the quantification of operational risk in financial institutions (2016) De 11th Iberian Conference on Information Systems and Technologies (CISTI), , Gran Canaria;Lechner, L.A., Value-at-risk (2010) Journal of Risk Finance, 11 (5), pp. 464-480ScopusLiquidity riskMarket riskOperational riskSoftware engineeringSoftware suiteCommerceFinanceInformation systemsInformation useSoftware engineeringFinancial institutionLiquidity riskMarket risksMonitoring and controlOperational risksRegulatory organizationsRisk mitigationSoftware suiteRisk assessmentSoftware suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]Conference Paperinfo:eu-repo/semantics/conferenceObjecthttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_c94fArias-Serna, M.A., Universidad de Medellín;Caro-Lopera, F.J., Universidad de Medellín;Castaneda-Palacio, D.A., Universidad de Medellín;Murillo-Gomez, J.G., Universidad de Medellín;Toro, L.T., Universidad de MedellínArias-Serna M.A.Caro-Lopera F.J.Castaneda-Palacio D.A.Murillo-Gomez J.G.Toro L.T.http://purl.org/coar/access_right/c_16ec11407/4899oai:repository.udem.edu.co:11407/48992020-05-27 15:51:22.904Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

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