Una aproximación al CVA para instituciones financieras en Colombia
En este documento se explican los componentes del ajuste a la valoración por riesgo de crédito (CVA, por sus iniciales en inglés) a partir de modelos teóricos, y se presentan ideas para su implementación por parte de instituciones financieras en Colombia utilizando herramientas informáticas comunes....
- Autores:
-
Páez Montaña, Andrés Felipe
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2020
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7829
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7829
https://doi.org/10.18601/17941113.n17.03
- Palabra clave:
- Credit value adjustment;
valuation;
derivatives
ajuste de valor crediticio;
valoración;
derivados
- Rights
- openAccess
- License
- Andrés Felipe Páez Montaña - 2020
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Una aproximación al CVA para instituciones financieras en Colombia |
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A CVA approach for financial institutions in Colombia |
| title |
Una aproximación al CVA para instituciones financieras en Colombia |
| spellingShingle |
Una aproximación al CVA para instituciones financieras en Colombia Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados |
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Una aproximación al CVA para instituciones financieras en Colombia |
| title_full |
Una aproximación al CVA para instituciones financieras en Colombia |
| title_fullStr |
Una aproximación al CVA para instituciones financieras en Colombia |
| title_full_unstemmed |
Una aproximación al CVA para instituciones financieras en Colombia |
| title_sort |
Una aproximación al CVA para instituciones financieras en Colombia |
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Páez Montaña, Andrés Felipe |
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Páez Montaña, Andrés Felipe |
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Credit value adjustment; valuation; derivatives |
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Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados |
| dc.subject.spa.fl_str_mv |
ajuste de valor crediticio; valoración; derivados |
| description |
En este documento se explican los componentes del ajuste a la valoración por riesgo de crédito (CVA, por sus iniciales en inglés) a partir de modelos teóricos, y se presentan ideas para su implementación por parte de instituciones financieras en Colombia utilizando herramientas informáticas comunes. |
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2020-05-29 |
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Banco de la República (2018). Informe semanal de mercados financieros 2018. Bank for International Settlements (2016). otc derivatives statistics at end-June 2016. BIS Statistical Release (november). Retrieved from http://www.bis.org/publ/otc_hy1305.pdf BIS (2018). OTC derivatives notional amount outstanding by risk category. Retrieved from https://www.bis.org/statistics/about_derivatives_stats.htm?m=6%7C32%7C639 Bonini, S., & Caivano, G. (2017). Econometric Approach for Basel iii Loss Given Default Estimation: From Discount Rate to Final Multivariate Model. Brigo, D. (2013). Counterparty Credit Risk, Collateral and Funding. Wiley. Canabarro, E., & Duffie, D. (2003). Measuring and Marking Counterparty Risk. Asset/Liability Management of Financial Institutions. https://doi.org/10.1016/j.bjps.2006.01.058 Council, E. P., & (2013). Capital Requirements Regulation (CRR). Retrieved from https://eba.europa.eu/regulation-and-policy/single-rulebook/interactive-singlerulebook/-/interactive-single-rulebook/toc/504/article-id/1598;jsessionid=A1C774A0EBD90FFAD6A50BF176E5A54B Crotty, J. (2008). Structural Causes of the Global Financial Crisis: A Critical Assessment of the ‘New Financial Architecture’ by James Crotty {SSRN}. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1433942 Gregory, J. (2010). Counterparty Credit Risk the New Challenge for Global Financial Markets. Wiley. Gregory, J. (2012). Counterparty Credit Risk and Credit Value Adjustment (Second Ed.). Wiley. Hull, J., & White, A. (2012). CVA and Wrong Way Risk, 68(5), 58-69. Kjaer, M. (2011). A generalized credit value adjustment, 7(1). Li, H. (2008). CVA calculation for CDS on super senior abs CDO. Business, (8225). Lu, D., & Juan, F. (2010). An efficient, distributable, risk neutral framework for CVA calculation. Managing (September). Orlin Grabbe, J. (1983). The pricing of call and put options on foreign exchange. Journal of International Money and Finance, 2(3), 239-253. https://doi.org/10.1016/S0261-5606(83)80002-3 Peres, Y. (2008). Brownian motion. Colloids and Surfaces A Physicochemical and Engineering Aspects, 106, 230601. https://doi.org/10.1016/j.colsurfa.2007.11.058 Reynolds, B. W. B., Donegan, T., Lamson, D., Sabel, B. K., Letréguilly, H., Croff, T., Campbell, J. et al.(2013). Basel iii framework: The Credit Valuation Adjustment (CVA) charge for otc derivative trades (November), 1-5. Superintendencia Financiera de Colombia (2012). Circular Externa 050 de 2012. Circulares Externas. Retrieved from https://www.superfinanciera.gov.co/descargas?com=institucional&name=pubFile22885&downloadname=ce053_10.doc Superintendencia Financiera de Colombia (2015). Circular externa 041 de 2015. Retrieved from https://www.superfinanciera.gov.co/publicacion/10084254 Zhabjaku, S. (2013). Modelling Credit Value Adjustment Using Defaultable Options Approach (August). |
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Páez Montaña, Andrés Felipe32a79119-32ba-4089-858a-2a52a7128b0f2020-05-29 13:11:402022-09-08T13:41:58Z2020-05-29 13:11:402022-09-08T13:41:58Z2020-05-29En este documento se explican los componentes del ajuste a la valoración por riesgo de crédito (CVA, por sus iniciales en inglés) a partir de modelos teóricos, y se presentan ideas para su implementación por parte de instituciones financieras en Colombia utilizando herramientas informáticas comunes.This document explains the components of Credit Value Adjustment (CVA), based on theoretical models and presents ideas for its implementation by financial institutions in Colombia using common computer tools.application/pdftext/html10.18601/17941113.n17.032346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7829https://doi.org/10.18601/17941113.n17.03spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/6563/8922https://revistas.uexternado.edu.co/index.php/odeon/article/download/6563/9375Núm. 17 , Año 2019 : Julio-Diciembre881745OdeonBanco de la República (2018). Informe semanal de mercados financieros 2018.Bank for International Settlements (2016). otc derivatives statistics at end-June 2016. BIS Statistical Release (november). Retrieved from http://www.bis.org/publ/otc_hy1305.pdfBIS (2018). OTC derivatives notional amount outstanding by risk category. Retrieved from https://www.bis.org/statistics/about_derivatives_stats.htm?m=6%7C32%7C639Bonini, S., & Caivano, G. (2017). Econometric Approach for Basel iii Loss Given Default Estimation: From Discount Rate to Final Multivariate Model.Brigo, D. (2013). Counterparty Credit Risk, Collateral and Funding. Wiley.Canabarro, E., & Duffie, D. (2003). Measuring and Marking Counterparty Risk. Asset/Liability Management of Financial Institutions. https://doi.org/10.1016/j.bjps.2006.01.058Council, E. P., & (2013). Capital Requirements Regulation (CRR). Retrieved from https://eba.europa.eu/regulation-and-policy/single-rulebook/interactive-singlerulebook/-/interactive-single-rulebook/toc/504/article-id/1598;jsessionid=A1C774A0EBD90FFAD6A50BF176E5A54BCrotty, J. (2008). Structural Causes of the Global Financial Crisis: A Critical Assessment of the ‘New Financial Architecture’ by James Crotty {SSRN}. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1433942Gregory, J. (2010). Counterparty Credit Risk the New Challenge for Global Financial Markets. Wiley.Gregory, J. (2012). Counterparty Credit Risk and Credit Value Adjustment (Second Ed.). Wiley.Hull, J., & White, A. (2012). CVA and Wrong Way Risk, 68(5), 58-69.Kjaer, M. (2011). A generalized credit value adjustment, 7(1).Li, H. (2008). CVA calculation for CDS on super senior abs CDO. Business, (8225).Lu, D., & Juan, F. (2010). An efficient, distributable, risk neutral framework for CVA calculation. Managing (September).Orlin Grabbe, J. (1983). The pricing of call and put options on foreign exchange. Journal of International Money and Finance, 2(3), 239-253. https://doi.org/10.1016/S0261-5606(83)80002-3Peres, Y. (2008). Brownian motion. Colloids and Surfaces A Physicochemical and Engineering Aspects, 106, 230601. https://doi.org/10.1016/j.colsurfa.2007.11.058Reynolds, B. W. B., Donegan, T., Lamson, D., Sabel, B. K., Letréguilly, H., Croff, T., Campbell, J. et al.(2013). Basel iii framework: The Credit Valuation Adjustment (CVA) charge for otc derivative trades (November), 1-5.Superintendencia Financiera de Colombia (2012). Circular Externa 050 de 2012. Circulares Externas. Retrieved from https://www.superfinanciera.gov.co/descargas?com=institucional&name=pubFile22885&downloadname=ce053_10.docSuperintendencia Financiera de Colombia (2015). Circular externa 041 de 2015. Retrieved from https://www.superfinanciera.gov.co/publicacion/10084254Zhabjaku, S. (2013). Modelling Credit Value Adjustment Using Defaultable Options Approach (August).Andrés Felipe Páez Montaña - 2020info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/6563Credit value adjustment;valuation;derivativesajuste de valor crediticio;valoración;derivadosUna aproximación al CVA para instituciones financieras en ColombiaA CVA approach for financial institutions in ColombiaArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2539https://bdigital.uexternado.edu.co/bitstreams/4b974b62-575b-4668-a7ac-3b6973e51640/download2ad9c674de1d63f8b674e2d494ab6639MD51001/7829oai:bdigital.uexternado.edu.co:001/78292023-08-14 15:18:22.091https://creativecommons.org/licenses/by-nc-sa/4.0/Andrés Felipe Páez Montaña - 2020https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org |