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

dc.creatorArias-Serna M.A.spa
dc.creatorCaro-Lopera F.J.spa
dc.creatorCastaneda-Palacio D.A.spa
dc.creatorMurillo-Gomez J.G.spa
dc.creatorToro L.T.spa
dc.date.accessioned2018-10-31T13:44:23Z
dc.date.available2018-10-31T13:44:23Z
dc.date.created2018
dc.identifier.isbn9789899843486
dc.identifier.issn21660727
dc.identifier.urihttp://hdl.handle.net/11407/4899
dc.descriptionIn 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.spa
dc.language.isospa
dc.publisherIEEE Computer Societyspa
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85049901304&doi=10.23919%2fCISTI.2018.8399143&partnerID=40&md5=c5aed7bcc8907e03a3a8dfe97b7b5e67spa
dc.sourceScopusspa
dc.subjectLiquidity riskspa
dc.subjectMarket riskspa
dc.subjectOperational riskspa
dc.subjectSoftware engineeringspa
dc.subjectSoftware suitespa
dc.subjectCommercespa
dc.subjectFinancespa
dc.subjectInformation systemsspa
dc.subjectInformation usespa
dc.subjectSoftware engineeringspa
dc.subjectFinancial institutionspa
dc.subjectLiquidity riskspa
dc.subjectMarket risksspa
dc.subjectMonitoring and controlspa
dc.subjectOperational risksspa
dc.subjectRegulatory organizationsspa
dc.subjectRisk mitigationspa
dc.subjectSoftware suitespa
dc.subjectRisk assessmentspa
dc.titleSoftware suite for the measurement of financial risk [Suite de Software para la Medición del Riesgo Financeiro]spa
dc.typeConference Papereng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.publisher.programIngeniería Financiera;Ciencias Básicasspa
dc.contributor.affiliationArias-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 Medellínspa
dc.identifier.doi10.23919/CISTI.2018.8399143
dc.relation.citationvolume2018-June
dc.relation.citationstartpage1
dc.relation.citationendpage6
dc.publisher.facultyFacultad de Ingenierías;Facultad de Ciencias Básicasspa
dc.relation.ispartofesIberian Conference on Information Systems and Technologies, CISTIspa
dc.relation.referencesCousin, 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. 464-480spa
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.driverinfo:eu-repo/semantics/conferenceObject


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