Mostrar el registro sencillo del ítem
Modeling and simulation of the operational risk of fiduciary institutions in Colombia [Modelaje y simulación del riesgo operativo de las instituciones fiduciarias en Colombia]
dc.contributor.author | Vahos-Zuleta F.C | |
dc.contributor.author | Bedoya-Londoño D.A | |
dc.contributor.author | Boada A. | |
dc.date.accessioned | 2023-10-24T19:26:39Z | |
dc.date.available | 2023-10-24T19:26:39Z | |
dc.date.created | 2021 | |
dc.identifier.issn | 13906291 | |
dc.identifier.uri | http://hdl.handle.net/11407/8164 | |
dc.description.abstract | Through this work, a model was developed that has become the first experience to measure and forecast the impact that net losses have had on operating risk in fiduciary companies in Colombia and that would allow fiduciary companies to study and analyze the evolution and impact that operating risk has on their profits. The financial services industry sector has been exposed to a number of risks that lead to losses in these entities, and in the financial system in general; thus, through the definition of operational risk and operational risk management, the study of risk indicators is implemented through the EaR (Risk Usability) methodology, established in three phases: on the one hand, the selection and compilation of the financial information of the fiduciaries to be studied; the determination of the financial statements, with the construction of the income statement, and ending with the determination of the probabilistic distribution that adapts to the historical information, to then determine the correlations between the determined accounts, in order to be able to establish the EaR through Monte Carlo simulations. In this way, it was possible not only to build a model to quantify operating risk, based on financial information on income and expenses, but also to obtain relevant statistical information on the impact of operating risk. © 2021 Universidad Politecnica Salesiana. All rights reserved. | eng |
dc.language.iso | eng | |
dc.publisher | Universidad Politecnica Salesiana | |
dc.relation.isversionof | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85163991080&doi=10.17163%2fret.n22.2021.02&partnerID=40&md5=9f8096158479b1a2b23f06ddb27da229 | |
dc.source | Retos. | |
dc.source | Retos(Ecuador) | eng |
dc.subject | EaR | eng |
dc.subject | Losses | eng |
dc.subject | Operational risk | eng |
dc.subject | Profits | eng |
dc.subject | Trust companies | eng |
dc.title | Modeling and simulation of the operational risk of fiduciary institutions in Colombia [Modelaje y simulación del riesgo operativo de las instituciones fiduciarias en Colombia] | eng |
dc.type | Article | |
dc.rights.accessrights | info:eu-repo/semantics/restrictedAccess | |
dc.publisher.program | Ingeniería Financiera | spa |
dc.type.spa | Artículo | |
dc.identifier.doi | 10.17163/ret.n22.2021.02 | |
dc.relation.citationvolume | 11 | |
dc.relation.citationissue | 22 | |
dc.relation.citationstartpage | 215 | |
dc.relation.citationendpage | 231 | |
dc.publisher.faculty | Facultad de Ingenierías | spa |
dc.affiliation | Vahos-Zuleta, F.C., CEIPA University Foundation, Colombia | |
dc.affiliation | Bedoya-Londoño, D.A., The Faculty of Engineering, The University of Medellín, Research Group in Financial Engineering-GINIF, Colombia | |
dc.affiliation | Boada, A., CEIPA University Foundation. Belongs, The Orygen and IMCA research group, Colombia | |
dc.relation.references | Anderson, T., Darling, D., A test of goodness of fit (1954) J. Amer. Statist. Assoc, 49, pp. 141-160 | |
dc.relation.references | Antoine-Frachot, O. M., (2003) Loss Distribution Approach in Practicee, , Groupe de Recherche Opérationnelle, Crédit Lyonnais | |
dc.relation.references | (2019) Asociación de Fiduciarias de Colombia, , (marzo 21). Asociación de Fiduciarias de Colombia | |
dc.relation.references | (2019) Cifras del Sector, , https://www.asofiduciarias.org.co/, (08 16). Asociación de Fiduciarias de Colombia | |
dc.relation.references | Basilea, C. d., (2004) Basilea II, , Basilea: Press & Communications | |
dc.relation.references | Boada, A., Estimar la demanda de productos de línea regular en empresas con estilo de venta directa, bajo variables de mercadotecnia (2000) Memorias del X Congreso Latino-Iberoamericano de Investigación de Operaciones y Sistemas, pp. 1-15. , CLAIO | |
dc.relation.references | Boada, A., Uso del Risk Simulator como herramienta para valoración de múltiplos com-parables. Caso Empresas del Sector Eléctrico de Colombia (2016) Memorias Arbitradas del Congreso FIMEF, pp. 849-871. , https://bit.ly/3grGpXr, En T. d. Monterrey, Tecnológico de Monterrey | |
dc.relation.references | Carvajal, J. A., Guía para el análisis crítico de publicaciones científicas (2004) Chil Obstet Ginecol, 69 (1), pp. 67-72. , https://bit.ly/3ybQPAw | |
dc.relation.references | Castilla, J., Estas son las fiduciarias líderes en el mercado, , https://bit.ly/3msjMG8, (2019-06-04) | |
dc.relation.references | Colombia, S. F., (2006) Circular Externa 048, , https://bit.ly/386gkbQ, (diciembre 22) | |
dc.relation.references | Cook, J. D., (2009) A beta-like distribution, , https://bit.ly/3j8zBQs, (noviembre 24) | |
dc.relation.references | Cruz, M., (2002) Modeling, measuring and hedging operational risk, , (Enero de). John Wiley and Sons | |
dc.relation.references | Dávila-Aragón, G., Ortiz-Arango, F., Cálculo del Valor en Riesgo Operacional de una empresa Aseguradora mediante Redes Bayesianas (2019) Metódos cuantitativos para la Economía y la empresa, pp. 30-55 | |
dc.relation.references | Risk management-principles and standardization, , www.iso.org/ISO/home/standards/ISO31000.htm, (n.d) | |
dc.relation.references | Holder-Bonin, T. D., Cross-sectional earnings risk and occupational sorting: The role of risk attitudes (2007) Labour Economics, 14 (6), pp. 926-937. , https://bit.ly/3yfxGh4 | |
dc.relation.references | Murillo, J. G., Arias, M. A., Franco, L. C., Comité de Basilea (2014) En Riesgo Operativo: Técnicas de modelación cuantitativa, p. 13. , Sello editorial | |
dc.relation.references | Macías-Villalba, G. I., Parra-Hormiga, S. A., Carvajal-Herrera, L. H., Modelo LDA para medición avanzada de riesgo operacional (2018) Innovar, pp. 9-27. , https://doi.org/10.15446/innovar.v28n68.70335 | |
dc.relation.references | Gestión del riesgo. Editada por el instituto colombiano de normas técnicas y certificación (ICONTEC), , https://bit.ly/2WpmxNO, Norma Técnica Colombiana NTC 5254 2004-05-31. (n.d) | |
dc.relation.references | Pinto, L. M., Leyva-Lemarie, A., Administración del riesgo operacional en Colombia. Estado de la implementación del SARO en el sector bancario (2008) AD-minister, enero-junio, (12), pp. 89-106. , https://bit.ly/3sIyhqt | |
dc.relation.references | (2019) Información por sector: Fiduciarias, , https://bit.ly/3jewFlu, (08-16) | |
dc.relation.references | (2006) Carta circular 049 de 2006, , https://bit.ly/3khG1MA | |
dc.relation.references | (2007) Circular Externa 041 de2007, , https://bit.ly/3B7UilH, (junio). 0ctubre | |
dc.relation.references | (2012) Circular externa 100 de 1995, , https://bit.ly/3sKVtEt | |
dc.relation.references | (2005) Administración de riesgos corporativos-Marco integrado | |
dc.relation.references | Triana, D., Torres Aponte, L. M., Alba, M. A., Pineda-Ríos, W., Estimación Bayesiana para el calculo del Valor en Riesgo (VAR) en modelos de series Ingeniería Financieras con relacionas de dependencia no lineal en Colombia (2018) Comunicaciones en Estadística, pp. 171-189. , https://doi.org/10.15332/2422474x.3761 | |
dc.relation.references | Uribe-Gómez, J., Quintero-Ramírez, S., Aplicación de los modelos de simulación en entornos productivos bajo la metodología de teorías de las restricciones (2017) CEA, 3 (6), pp. 11-27. , https://bit.ly/3zh7cgB | |
dc.relation.references | Yao, F., Wen, H., Luan, J., CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory (2013) Mathematical and Computer Modelling, pp. 15-26. , https://doi.org/10.1016/j.mcm.2012.07.013 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | |
dc.identifier.reponame | reponame:Repositorio Institucional Universidad de Medellín | |
dc.identifier.repourl | repourl:https://repository.udem.edu.co/ | |
dc.identifier.instname | instname:Universidad de Medellín |
Ficheros en el ítem
Ficheros | Tamaño | Formato | Ver |
---|---|---|---|
No hay ficheros asociados a este ítem. |
Este ítem aparece en la(s) siguiente(s) colección(ones)
-
Indexados Scopus [1632]