Titulo:
Una aproximación al CVA para instituciones financieras en Colombia
.
Sumario:
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.
Guardado en:
1794-1113
2346-2140
2020-05-29
45
88
Andrés Felipe Páez Montaña - 2020
info:eu-repo/semantics/openAccess
http://purl.org/coar/access_right/c_abf2
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metarevistapublica_uexternado_revistaodeon_39_article_6563 |
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Una aproximación al CVA para instituciones financieras en Colombia A CVA approach for financial institutions in 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. 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. Páez Montaña, Andrés Felipe Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados 17 Núm. 17 , Año 2019 : Julio-Diciembre Artículo de revista Journal article 2020-05-29T13:11:40Z 2020-05-29T13:11:40Z 2020-05-29 application/pdf text/html Universidad Externado de Colombia ODEON 1794-1113 2346-2140 https://revistas.uexternado.edu.co/index.php/odeon/article/view/6563 10.18601/17941113.n17.03 https://doi.org/10.18601/17941113.n17.03 spa https://creativecommons.org/licenses/by-nc-sa/4.0/ Andrés Felipe Páez Montaña - 2020 45 88 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). https://revistas.uexternado.edu.co/index.php/odeon/article/download/6563/8922 https://revistas.uexternado.edu.co/index.php/odeon/article/download/6563/9375 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Publication |
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UNIVERSIDAD EXTERNADO DE COLOMBIA |
| thumbnail |
https://nuevo.metarevistas.org/UNIVERSIDADEXTERNADODECOLOMBIA/logo.png |
| country_str |
Colombia |
| collection |
Revista ODEON |
| title |
Una aproximación al CVA para instituciones financieras en Colombia |
| spellingShingle |
Una aproximación al CVA para instituciones financieras en Colombia Páez Montaña, Andrés Felipe Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados |
| title_short |
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 |
| title_eng |
A CVA approach for financial institutions in Colombia |
| 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.
|
| description_eng |
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.
|
| author |
Páez Montaña, Andrés Felipe |
| author_facet |
Páez Montaña, Andrés Felipe |
| topic |
Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados |
| topic_facet |
Credit value adjustment; valuation; derivatives ajuste de valor crediticio; valoración; derivados |
| topicspa_str_mv |
ajuste de valor crediticio; valoración; derivados |
| citationissue |
17 |
| citationedition |
Núm. 17 , Año 2019 : Julio-Diciembre |
| publisher |
Universidad Externado de Colombia |
| ispartofjournal |
ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/6563 |
| language |
spa |
| format |
Article |
| rights |
https://creativecommons.org/licenses/by-nc-sa/4.0/ Andrés Felipe Páez Montaña - 2020 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 |
| references |
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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2020-05-29 |
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2020-05-29T13:11:40Z |
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2346-2140 |
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10.18601/17941113.n17.03 |
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