Generación del valor a partir de la gerencia del riesgo sistemático
This article explores the concept of risk in terms of its theory, application, management and value. The study shows how risk management models can create value by reducing the discount rate of valuation flows of the underlying asset Three models of real derivatives are put forward: sales derivative...
- Autores:
-
Vargas-Vives, Jaime Andrés
Cruz-Merchán, Juan Sergio
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/17643
- Acceso en línea:
- https://hdl.handle.net/10983/17643
- Palabra clave:
- BETA
RIESGO SISTEMÁTICO
ACTIVO SUBYACENTE
VALOR
SWAP
RESULTADO DE EXPLOTACIÓN (EBIT)
UTILIDAD OPERACIONAL
- Rights
- openAccess
- License
- Derechos Reservados - Universidad Católica de Colombia, 2015
| id |
UCATOLICA2_458e990e1521bc988ea1171e796c84f7 |
|---|---|
| oai_identifier_str |
oai:repository.ucatolica.edu.co:10983/17643 |
| network_acronym_str |
UCATOLICA2 |
| network_name_str |
RIUCaC - Repositorio U. Católica |
| repository_id_str |
|
| dc.title.spa.fl_str_mv |
Generación del valor a partir de la gerencia del riesgo sistemático |
| title |
Generación del valor a partir de la gerencia del riesgo sistemático |
| spellingShingle |
Generación del valor a partir de la gerencia del riesgo sistemático BETA RIESGO SISTEMÁTICO ACTIVO SUBYACENTE VALOR SWAP RESULTADO DE EXPLOTACIÓN (EBIT) UTILIDAD OPERACIONAL |
| title_short |
Generación del valor a partir de la gerencia del riesgo sistemático |
| title_full |
Generación del valor a partir de la gerencia del riesgo sistemático |
| title_fullStr |
Generación del valor a partir de la gerencia del riesgo sistemático |
| title_full_unstemmed |
Generación del valor a partir de la gerencia del riesgo sistemático |
| title_sort |
Generación del valor a partir de la gerencia del riesgo sistemático |
| dc.creator.fl_str_mv |
Vargas-Vives, Jaime Andrés Cruz-Merchán, Juan Sergio |
| dc.contributor.author.spa.fl_str_mv |
Vargas-Vives, Jaime Andrés Cruz-Merchán, Juan Sergio |
| dc.subject.proposal.spa.fl_str_mv |
BETA RIESGO SISTEMÁTICO ACTIVO SUBYACENTE VALOR SWAP RESULTADO DE EXPLOTACIÓN (EBIT) UTILIDAD OPERACIONAL |
| topic |
BETA RIESGO SISTEMÁTICO ACTIVO SUBYACENTE VALOR SWAP RESULTADO DE EXPLOTACIÓN (EBIT) UTILIDAD OPERACIONAL |
| description |
This article explores the concept of risk in terms of its theory, application, management and value. The study shows how risk management models can create value by reducing the discount rate of valuation flows of the underlying asset Three models of real derivatives are put forward: sales derivatives, cost derivatives, and EBIT derivatives. These real derivatives focus on maximizing asset value through systematic risk (beta) reduction strategies. In summary, the results of this study contradict one of the central principles of modern management, put forward by C. W. Smith in his well-known article, "Corporate risk management". |
| publishDate |
2015 |
| dc.date.issued.spa.fl_str_mv |
2015-01 |
| dc.date.accessioned.spa.fl_str_mv |
2018-09-15T15:04:21Z |
| dc.date.available.spa.fl_str_mv |
2018-09-15T15:04:21Z |
| dc.type.spa.fl_str_mv |
Artículo de revista |
| dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
| dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| dc.type.coar.spa.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
| dc.type.content.spa.fl_str_mv |
Text |
| dc.type.driver.spa.fl_str_mv |
info:eu-repo/semantics/article |
| dc.type.redcol.spa.fl_str_mv |
http://purl.org/redcol/resource_type/ART |
| dc.type.version.spa.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| format |
http://purl.org/coar/resource_type/c_6501 |
| status_str |
publishedVersion |
| dc.identifier.citation.spa.fl_str_mv |
Vargas-Vives, J., y Cruz-Merchán, J. (2015). Generación del valor a partir de la gerencia del riesgo sistemático. Revista Finanzas y Política Económica, 7 (1), 55-82. Obtenido de https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/128/173 |
| dc.identifier.issn.spa.fl_str_mv |
2248-6046 |
| dc.identifier.uri.spa.fl_str_mv |
https://hdl.handle.net/10983/17643 |
| identifier_str_mv |
Vargas-Vives, J., y Cruz-Merchán, J. (2015). Generación del valor a partir de la gerencia del riesgo sistemático. Revista Finanzas y Política Económica, 7 (1), 55-82. Obtenido de https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/128/173 2248-6046 |
| url |
https://hdl.handle.net/10983/17643 |
| dc.language.iso.spa.fl_str_mv |
spa |
| language |
spa |
| dc.relation.ispartof.spa.fl_str_mv |
Revista Finanzas y Política Económica, Vol. 7, no. 1 (ene. – jul. 2015); p. 55-82. http://dx.doi.org/10.14718/revfinanzpolitecon.2015.7.1.2.3 |
| dc.relation.references.spa.fl_str_mv |
Bartram, S. M. (2000). Corporate risk management as a lever for shareholder value creation. Financial- Markets, Institutions and Instruments, 9, 279-324. Besley, S. y Brigham, E. F. (2001). Fundamentos de administración financiera. México: McGraw-Hill. Black, F. y Scholes, M. S, (1972). The valuation of option contracts and a test of market efficiency. Journal of Finance, 27, 299-417. Cruz, M., Vargas, J. y Vargas, E. (2009). Aproximación de reclamos contingentes, para la predicción de riesgo de crédito en sus medidas de determinación de la distancia de default y su probabilidad de quiebra para Colombia. Estudios Gerenciales, 27(118), 43-66. Damodaran, A. (2002). Investment valuation. Nueva York: John Wiley & Sons. Damodaran, A. (2008). Strategic risk taking: a framework for risk management. Nueva Jersey: Pearson Education. Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417 Horngren, C. T., Datar, S. M. y Foster, G. (2007). Contabilidad de costos: un enfoque gerencial. México: Pearson. Keynes, J. M. (1936). The general theory of employment, interest and money. Cambridge: Cambridge University Press. Knight, E. H. (1921). Risk, uncertainty and profit. Nueva York: Hart, Schaffner and Marx. Kulkarni, M., Powers, M. y Shannon, D. (1991). The use of segment earnings betas in the formation of divisional hurdle rates. Journal of Business Finance and Accounting, 18, 497-512. Markowitz, H M. (1952). Portfolio selection. Journal of Finance, 7, 77-91. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-183. Modigliani, F. y Merton, H. M. (1958). The cost of capital, corporation finance and the theory of investment. American Economic Review, 48, 261-297. Nash, J. F. (1950). Equilibrium points in N-Person games. Proceedings of the National Academy of Sciences of the United States of America, 36, 48-49 Samuelson, P. A. (1947). Foundations of economic analysis. Harvard University Press, 48, 261-297 Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442. Smith, C. W. (1995). Corporate risk management: theory and practice. Journal of Derivatives, 4, 21-30. Smith, C. y Stultz, R. (1985). The determinants of firms' hedging policies. Journal of Financial and Quantitative Analysis, 20, 391-405. Smithson, C. W. (1987). A LEGO approach to financial engineering: an introduction to forwards, futures, swaps and options. Midland Corporate Finance Journal, 4, 16-28. Tekavcic, M., Sevic, Z. y Sprcic, D. (2008). A review of rationales of corporate risk management: fashion or need? International Journal of Economic Sciences and Applied Research, 1, 71-99G. Warner, J. B. (1977). Bankruptcy costs: some evidence. Journal of Finance, 32, 337-347. Weiss, L. A. (1990). Bankruptcy resolution: direct costs and violation of priority of claims. Journal of Financial Economics, 13, 137-151. |
| dc.rights.spa.fl_str_mv |
Derechos Reservados - Universidad Católica de Colombia, 2015 |
| dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
| dc.rights.accessrights.spa.fl_str_mv |
info:eu-repo/semantics/openAccess |
| dc.rights.creativecommons.spa.fl_str_mv |
Atribución-SinDerivadas 4.0 Internacional (CC BY-ND 4.0) |
| dc.rights.uri.spa.fl_str_mv |
https://creativecommons.org/licenses/by-nd/4.0/ |
| rights_invalid_str_mv |
Derechos Reservados - Universidad Católica de Colombia, 2015 Atribución-SinDerivadas 4.0 Internacional (CC BY-ND 4.0) https://creativecommons.org/licenses/by-nd/4.0/ http://purl.org/coar/access_right/c_abf2 |
| eu_rights_str_mv |
openAccess |
| dc.format.mimetype.spa.fl_str_mv |
application/pdf |
| dc.publisher.spa.fl_str_mv |
Universidad Católica de Colombia. Facultad de Ciencias Económicas y Administrativas |
| dc.source.spa.fl_str_mv |
https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/128/173 |
| institution |
Universidad Católica de Colombia |
| bitstream.url.fl_str_mv |
https://repository.ucatolica.edu.co/bitstreams/b67d86ee-f219-4aae-ad0f-4417332df9b9/download https://repository.ucatolica.edu.co/bitstreams/58877ab7-95b4-48e7-a79e-12af3fbbe982/download https://repository.ucatolica.edu.co/bitstreams/785ed82c-7361-4aef-84b8-1e5b55ecf699/download |
| bitstream.checksum.fl_str_mv |
bd2a59e959c895cf3235dcd2b8365c8d a7652b54a1c1980a7b0c849c16498283 8730ad5d27dfec582049c39f78a48a6f |
| bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
| repository.name.fl_str_mv |
Repositorio Institucional Universidad Católica de Colombia - RIUCaC |
| repository.mail.fl_str_mv |
bdigital@metabiblioteca.com |
| _version_ |
1814256245320712192 |
| spelling |
Vargas-Vives, Jaime Andrésc6af7e82-4de5-4fd3-aa37-ab473803421b-1Cruz-Merchán, Juan Sergio0e3b6650-db33-4d04-b5e9-65a5b54309ef-12018-09-15T15:04:21Z2018-09-15T15:04:21Z2015-01This article explores the concept of risk in terms of its theory, application, management and value. The study shows how risk management models can create value by reducing the discount rate of valuation flows of the underlying asset Three models of real derivatives are put forward: sales derivatives, cost derivatives, and EBIT derivatives. These real derivatives focus on maximizing asset value through systematic risk (beta) reduction strategies. In summary, the results of this study contradict one of the central principles of modern management, put forward by C. W. Smith in his well-known article, "Corporate risk management".Este artículo tiene como propósito profundizar en cómo se conceptualiza la teoría, la aplicación del riesgo, su gestión y valor. Se demostrará cómo los modelos de gerencia del riesgo pueden crear valor a través de la reducción de la tasa de descuento de los flujos de valoración del activo subyacente. La investigación planteará tres modelos de derivados reales: derivados de ventas, derivados de costos y derivados de EBIT. El propósito de estos derivados reales se centrará en la maximización del valor del activo a través de estrategias de reducción del riesgo sistemático (beta). En síntesis, los resultados de esta investigación contradicen uno de los postulados centrales de la gerencia moderna, liderado por C. W. Smith en su bien conocido artículo "Corporative risk management".Este artigo tem como objetivo aprofundar em como se conceituam a teoria, a aplicação do risco, sua gestão e valor. Demonstra-se como os modelos de gerência do risco podem criar valor por meio da redução da taxa de desconto dos fluxos de avaliação do ativo subjacente. Esta pesquisa propõe três modelos de derivados reais: derivados de vendas, derivados de custos e derivados de EBIT. O propósito desses derivados reais se centralizará na maximização do valor do ativo por meio de estratégias de redução do risco sistemático (beta). Em síntese, os resultados desta pesquisa contradizem uma das premissas centrais da gerência moderna, liderada por C. W. Smith em seu conhecido artigo "Corporative risk management".application/pdfVargas-Vives, J., y Cruz-Merchán, J. (2015). Generación del valor a partir de la gerencia del riesgo sistemático. Revista Finanzas y Política Económica, 7 (1), 55-82. Obtenido de https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/128/1732248-6046https://hdl.handle.net/10983/17643spaUniversidad Católica de Colombia. Facultad de Ciencias Económicas y AdministrativasRevista Finanzas y Política Económica, Vol. 7, no. 1 (ene. – jul. 2015); p. 55-82. http://dx.doi.org/10.14718/revfinanzpolitecon.2015.7.1.2.3Bartram, S. M. (2000). Corporate risk management as a lever for shareholder value creation. Financial- Markets, Institutions and Instruments, 9, 279-324.Besley, S. y Brigham, E. F. (2001). Fundamentos de administración financiera. México: McGraw-Hill.Black, F. y Scholes, M. S, (1972). The valuation of option contracts and a test of market efficiency. Journal of Finance, 27, 299-417.Cruz, M., Vargas, J. y Vargas, E. (2009). Aproximación de reclamos contingentes, para la predicción de riesgo de crédito en sus medidas de determinación de la distancia de default y su probabilidad de quiebra para Colombia. Estudios Gerenciales, 27(118), 43-66.Damodaran, A. (2002). Investment valuation. Nueva York: John Wiley & Sons.Damodaran, A. (2008). Strategic risk taking: a framework for risk management. Nueva Jersey: Pearson Education.Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417Horngren, C. T., Datar, S. M. y Foster, G. (2007). Contabilidad de costos: un enfoque gerencial. México: Pearson.Keynes, J. M. (1936). The general theory of employment, interest and money. Cambridge: Cambridge University Press.Knight, E. H. (1921). Risk, uncertainty and profit. Nueva York: Hart, Schaffner and Marx.Kulkarni, M., Powers, M. y Shannon, D. (1991). The use of segment earnings betas in the formation of divisional hurdle rates. Journal of Business Finance and Accounting, 18, 497-512.Markowitz, H M. (1952). Portfolio selection. Journal of Finance, 7, 77-91.Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-183.Modigliani, F. y Merton, H. M. (1958). The cost of capital, corporation finance and the theory of investment. American Economic Review, 48, 261-297.Nash, J. F. (1950). Equilibrium points in N-Person games. Proceedings of the National Academy of Sciences of the United States of America, 36, 48-49Samuelson, P. A. (1947). Foundations of economic analysis. Harvard University Press, 48, 261-297Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442.Smith, C. W. (1995). Corporate risk management: theory and practice. Journal of Derivatives, 4, 21-30.Smith, C. y Stultz, R. (1985). The determinants of firms' hedging policies. Journal of Financial and Quantitative Analysis, 20, 391-405.Smithson, C. W. (1987). A LEGO approach to financial engineering: an introduction to forwards, futures, swaps and options. Midland Corporate Finance Journal, 4, 16-28.Tekavcic, M., Sevic, Z. y Sprcic, D. (2008). A review of rationales of corporate risk management: fashion or need? International Journal of Economic Sciences and Applied Research, 1, 71-99G.Warner, J. B. (1977). Bankruptcy costs: some evidence. Journal of Finance, 32, 337-347.Weiss, L. A. (1990). Bankruptcy resolution: direct costs and violation of priority of claims. Journal of Financial Economics, 13, 137-151.Derechos Reservados - Universidad Católica de Colombia, 2015info:eu-repo/semantics/openAccessAtribución-SinDerivadas 4.0 Internacional (CC BY-ND 4.0)https://creativecommons.org/licenses/by-nd/4.0/http://purl.org/coar/access_right/c_abf2https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/128/173BETARIESGO SISTEMÁTICOACTIVO SUBYACENTEVALORSWAPRESULTADO DE EXPLOTACIÓN (EBIT)UTILIDAD OPERACIONALGeneración del valor a partir de la gerencia del riesgo sistemáticoArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Textinfo:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85PublicationORIGINAL2Generación del valor a partir de la gerencia del riesgo sistemático.pdf2Generación del valor a partir de la gerencia del riesgo sistemático.pdfapplication/pdf2405845https://repository.ucatolica.edu.co/bitstreams/b67d86ee-f219-4aae-ad0f-4417332df9b9/downloadbd2a59e959c895cf3235dcd2b8365c8dMD51THUMBNAIL2Generación del valor a partir de la gerencia del riesgo sistemático.pdf.jpg2Generación del valor a partir de la gerencia del riesgo sistemático.pdf.jpgRIUCACimage/jpeg25002https://repository.ucatolica.edu.co/bitstreams/58877ab7-95b4-48e7-a79e-12af3fbbe982/downloada7652b54a1c1980a7b0c849c16498283MD52TEXT2Generación del valor a partir de la gerencia del riesgo sistemático.pdf.txt2Generación del valor a partir de la gerencia del riesgo sistemático.pdf.txtExtracted texttext/plain76569https://repository.ucatolica.edu.co/bitstreams/785ed82c-7361-4aef-84b8-1e5b55ecf699/download8730ad5d27dfec582049c39f78a48a6fMD5310983/17643oai:repository.ucatolica.edu.co:10983/176432023-03-24 15:25:06.277https://creativecommons.org/licenses/by-nd/4.0/Derechos Reservados - Universidad Católica de Colombia, 2015https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com |