Riesgo de mercado en portafolios bancarios de opciones de divisas

ilustraciones, diagramas

Autores:
Grajales Correa, Carlos Alexander
Tipo de recurso:
Doctoral thesis
Fecha de publicación:
2022
Institución:
Universidad Nacional de Colombia
Repositorio:
Universidad Nacional de Colombia
Idioma:
spa
OAI Identifier:
oai:repositorio.unal.edu.co:unal/83114
Acceso en línea:
https://repositorio.unal.edu.co/handle/unal/83114
https://repositorio.unal.edu.co/
Palabra clave:
330 - Economía::332 - Economía financiera
620 - Ingeniería y operaciones afines::629 - Otras ramas de la ingeniería
000 - Ciencias de la computación, información y obras generales::006 - Métodos especiales de computación
Capital market
Mercados financieros
Regulación de Basilea FRTB
Capital de riesgo
Riesgo Mercado
Banca
Divisa
Valor en riesgo condicional
Opciones sobre divisas
Modelos híbridos
Tasa de interés estocástica
Volatilidad estocástica
FRTB regulation
Risk capital
Market risk
Banking
Foreign exchange
Expected shortfall
FX options
Hybrid models
Stochastic interest rate
Stochastic volatility
Rights
openAccess
License
Atribución-NoComercial-SinDerivadas 4.0 Internacional
id UNACIONAL2_36869a321349dc29105793e84d636792
oai_identifier_str oai:repositorio.unal.edu.co:unal/83114
network_acronym_str UNACIONAL2
network_name_str Universidad Nacional de Colombia
repository_id_str
dc.title.spa.fl_str_mv Riesgo de mercado en portafolios bancarios de opciones de divisas
dc.title.translated.eng.fl_str_mv Market risk in banking portfolios of currency options
title Riesgo de mercado en portafolios bancarios de opciones de divisas
spellingShingle Riesgo de mercado en portafolios bancarios de opciones de divisas
330 - Economía::332 - Economía financiera
620 - Ingeniería y operaciones afines::629 - Otras ramas de la ingeniería
000 - Ciencias de la computación, información y obras generales::006 - Métodos especiales de computación
Capital market
Mercados financieros
Regulación de Basilea FRTB
Capital de riesgo
Riesgo Mercado
Banca
Divisa
Valor en riesgo condicional
Opciones sobre divisas
Modelos híbridos
Tasa de interés estocástica
Volatilidad estocástica
FRTB regulation
Risk capital
Market risk
Banking
Foreign exchange
Expected shortfall
FX options
Hybrid models
Stochastic interest rate
Stochastic volatility
title_short Riesgo de mercado en portafolios bancarios de opciones de divisas
title_full Riesgo de mercado en portafolios bancarios de opciones de divisas
title_fullStr Riesgo de mercado en portafolios bancarios de opciones de divisas
title_full_unstemmed Riesgo de mercado en portafolios bancarios de opciones de divisas
title_sort Riesgo de mercado en portafolios bancarios de opciones de divisas
dc.creator.fl_str_mv Grajales Correa, Carlos Alexander
dc.contributor.advisor.none.fl_str_mv Medina Hurtado, Santiago
dc.contributor.author.none.fl_str_mv Grajales Correa, Carlos Alexander
dc.contributor.researchgroup.spa.fl_str_mv Grupo de investigación en Ingeniería Financiera y Gestión Empresarial. (Gifig)
dc.contributor.orcid.spa.fl_str_mv Grajales, Carlos Alexander [0000-0001-6575-7352]
Medina Hurtado, Santiago [0000-0003-4480-7933]
dc.subject.ddc.spa.fl_str_mv 330 - Economía::332 - Economía financiera
620 - Ingeniería y operaciones afines::629 - Otras ramas de la ingeniería
000 - Ciencias de la computación, información y obras generales::006 - Métodos especiales de computación
topic 330 - Economía::332 - Economía financiera
620 - Ingeniería y operaciones afines::629 - Otras ramas de la ingeniería
000 - Ciencias de la computación, información y obras generales::006 - Métodos especiales de computación
Capital market
Mercados financieros
Regulación de Basilea FRTB
Capital de riesgo
Riesgo Mercado
Banca
Divisa
Valor en riesgo condicional
Opciones sobre divisas
Modelos híbridos
Tasa de interés estocástica
Volatilidad estocástica
FRTB regulation
Risk capital
Market risk
Banking
Foreign exchange
Expected shortfall
FX options
Hybrid models
Stochastic interest rate
Stochastic volatility
dc.subject.lemb.eng.fl_str_mv Capital market
dc.subject.lemb.spa.fl_str_mv Mercados financieros
dc.subject.proposal.spa.fl_str_mv Regulación de Basilea FRTB
Capital de riesgo
Riesgo Mercado
Banca
Divisa
Valor en riesgo condicional
Opciones sobre divisas
Modelos híbridos
Tasa de interés estocástica
Volatilidad estocástica
dc.subject.proposal.eng.fl_str_mv FRTB regulation
Risk capital
Market risk
Banking
Foreign exchange
Expected shortfall
FX options
Hybrid models
Stochastic interest rate
Stochastic volatility
description ilustraciones, diagramas
publishDate 2022
dc.date.issued.none.fl_str_mv 2022
dc.date.accessioned.none.fl_str_mv 2023-01-25T15:36:06Z
dc.date.available.none.fl_str_mv 2023-01-25T15:36:06Z
dc.type.spa.fl_str_mv Trabajo de grado - Doctorado
dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/doctoralThesis
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/acceptedVersion
dc.type.coar.spa.fl_str_mv http://purl.org/coar/resource_type/c_db06
dc.type.content.spa.fl_str_mv Text
dc.type.redcol.spa.fl_str_mv http://purl.org/redcol/resource_type/TD
format http://purl.org/coar/resource_type/c_db06
status_str acceptedVersion
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/83114
dc.identifier.instname.spa.fl_str_mv Universidad Nacional de Colombia
dc.identifier.reponame.spa.fl_str_mv Repositorio Institucional Universidad Nacional de Colombia
dc.identifier.repourl.spa.fl_str_mv https://repositorio.unal.edu.co/
url https://repositorio.unal.edu.co/handle/unal/83114
https://repositorio.unal.edu.co/
identifier_str_mv Universidad Nacional de Colombia
Repositorio Institucional Universidad Nacional de Colombia
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.indexed.spa.fl_str_mv RedCol
LaReferencia
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spelling Atribución-NoComercial-SinDerivadas 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Medina Hurtado, Santiago8de56f7c9fb5876d65a4fbbacad8e8ec600Grajales Correa, Carlos Alexander9c5846a2de40001e2a76dd600fbe9d9dGrupo de investigación en Ingeniería Financiera y Gestión Empresarial. (Gifig)Grajales, Carlos Alexander [0000-0001-6575-7352]Medina Hurtado, Santiago [0000-0003-4480-7933]2023-01-25T15:36:06Z2023-01-25T15:36:06Z2022https://repositorio.unal.edu.co/handle/unal/83114Universidad Nacional de ColombiaRepositorio Institucional Universidad Nacional de Colombiahttps://repositorio.unal.edu.co/ilustraciones, diagramasLa regulación de Basilea FRTB para la gestión del riesgo mercado en la industria bancaria entra en vigencia en 2023. Esta plantea nuevos desafíos en materia de implementación, cuantificación de riesgos, e impactos en capital de reserva. Este trabajo propone una metodología para cuantificar las métricas de riesgo expected shortfall, ES, y valor en riesgo, VaR, de un portafolio de opciones sobre divisas en el marco de los modelos internos de FRTB, eligiendo como estrategia de valoración del portafolio un modelo tradicional, un modelo con tasa estocástica, o un modelo híbrido con tasa y volatilidad estocástica. La metodología define adaptaciones de las métricas de riesgo, la generación de escenarios de estrés, y precisa el mecanismo matemático para integrar la valoración del portafolio con dichas métricas. La metodología se implementa a través de tres aplicaciones para un portafolio de opciones sobre GBP/USD, se investigan impactos sobre capital, y se evalúa el desempeño de la métrica VaR por pruebas back-testing. En cada desarrollo, se evidencia que la metodología planteada es apropiada, aporta a la literatura científica, y puede escalarse como herramienta tecnológica. (Texto tomado de la fuente)The Basel FRTB regulation for market risk management in the banking industry comes into effect in 2023. It poses new challenges in terms of implementation, risk quantification, and impacts on risk capital. This research proposes a methodology to quantify the risk metrics expected shortfall, ES, and value at risk, VaR, of a portfolio of foreign exchange options within the framework of FRTB's internal models, choosing as portfolio valuation strategy a traditional model, a stochastic interest rate model, or a stochastic interest rate and volatility model. The methodology defines adaptations of the risk metrics, the generation of stress scenarios, and specifies the mathematical mechanism to integrate the portfolio valuation with the risk measures. The methodology is implemented through three applications for a portfolio of options on GBP/USD, impacts on capital are investigated, and the performance of the VaR metric is evaluated via back-testing procedures. In each development, it is evident that the proposed methodology is appropriate, contributes to the scientific literature, and can be scaled as a technological tool.DoctoradoDoctor en IngenieríaMétodos y Modelos de OptimizaciónÁrea Curricular de Ingeniería Administrativa e Ingeniería Industrial129 páginasapplication/pdfspaUniversidad Nacional de ColombiaMedellín - Minas - Doctorado en Ingeniería - Industria y OrganizacionesFacultad de MinasMedellín, ColombiaUniversidad Nacional de Colombia - Sede Medellín330 - Economía::332 - Economía financiera620 - Ingeniería y operaciones afines::629 - Otras ramas de la ingeniería000 - Ciencias de la computación, información y obras generales::006 - Métodos especiales de computaciónCapital marketMercados financierosRegulación de Basilea FRTBCapital de riesgoRiesgo MercadoBancaDivisaValor en riesgo condicionalOpciones sobre divisasModelos híbridosTasa de interés estocásticaVolatilidad estocásticaFRTB regulationRisk capitalMarket riskBankingForeign exchangeExpected shortfallFX optionsHybrid modelsStochastic interest rateStochastic volatilityRiesgo de mercado en portafolios bancarios de opciones de divisasMarket risk in banking portfolios of currency optionsTrabajo de grado - Doctoradoinfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/acceptedVersionhttp://purl.org/coar/resource_type/c_db06Texthttp://purl.org/redcol/resource_type/TDRedColLaReferenciaCarlo Acerbi and Balazs Szekely. 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ISSN 01692070. doi: 10.1016/j.ijforecast.2010.09.007.Universidad de Antioquia, ColombiaAdministradoresEstudiantesInvestigadoresMaestrosLICENSElicense.txtlicense.txttext/plain; charset=utf-85879https://repositorio.unal.edu.co/bitstream/unal/83114/1/license.txteb34b1cf90b7e1103fc9dfd26be24b4aMD51ORIGINAL98664786.2022.pdf98664786.2022.pdfTesis de Doctorado en Ingeniería - Industria y Organizacionesapplication/pdf1936081https://repositorio.unal.edu.co/bitstream/unal/83114/2/98664786.2022.pdf94ab69b12cffb1345329a46ed27f4041MD52THUMBNAIL98664786.2022.pdf.jpg98664786.2022.pdf.jpgGenerated Thumbnailimage/jpeg5030https://repositorio.unal.edu.co/bitstream/unal/83114/3/98664786.2022.pdf.jpge149cd64d5d459352605c37919db32d9MD53unal/83114oai:repositorio.unal.edu.co:unal/831142024-08-15 23:14:58.101Repositorio Institucional Universidad Nacional de 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