Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk
In this article we propose a new methodology for measuring companies with financial risk exposure, based on the concept of duration in assets and liabilities management that can be applied in corporate portfolios. Risk indicators in banks usually try to measure the dynamic of accounts in the income...
- Autores:
-
Legendre, François
Manco López, Oscar
Medina Hurtado, Santiago
Botero, Oscar
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2018
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/83431
- Acceso en línea:
- https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2659
https://hdl.handle.net/10906/83431
https://doi.org/10.18046/j.estger.2018.146.2659
- Palabra clave:
- Valoración de riesgos
Riesgo financiero
Indicadores financieros
Mercados financieros
Portafolio financiero
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/4.0/
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| dc.title.spa.fl_str_mv |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| dc.title.alternative.spa.fl_str_mv |
Metodología de valoración de riesgos: implementación del gap de duraciones en portafolios corporativos con el fin de reducir el riesgo sistémico |
| title |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| spellingShingle |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk Valoración de riesgos Riesgo financiero Indicadores financieros Mercados financieros Portafolio financiero |
| title_short |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| title_full |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| title_fullStr |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| title_full_unstemmed |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| title_sort |
Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk |
| dc.creator.fl_str_mv |
Legendre, François Manco López, Oscar Medina Hurtado, Santiago Botero, Oscar |
| dc.contributor.author.spa.fl_str_mv |
Legendre, François Manco López, Oscar Medina Hurtado, Santiago Botero, Oscar |
| dc.subject.proposal.spa.fl_str_mv |
Valoración de riesgos Riesgo financiero Indicadores financieros Mercados financieros Portafolio financiero |
| topic |
Valoración de riesgos Riesgo financiero Indicadores financieros Mercados financieros Portafolio financiero |
| description |
In this article we propose a new methodology for measuring companies with financial risk exposure, based on the concept of duration in assets and liabilities management that can be applied in corporate portfolios. Risk indicators in banks usually try to measure the dynamic of accounts in the income statement and capital levels. With this research, we demonstrate how the methodology can be applied from banks to any company or industry sector. Then, we compare the methods for managing accounts in financial institutions and also identifying their adaptability to any type of corporation. We also made a comparison between the management elements used in financial markets and organizations assets, verifying their adaptability level. Finally, we present a real case study. |
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2018 |
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2018-04-30T16:17:51Z |
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2018-04-30T16:17:51Z |
| dc.date.issued.none.fl_str_mv |
2018-01-01 |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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0123-5923 |
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https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2659 |
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https://hdl.handle.net/10906/83431 |
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https://doi.org/10.18046/j.estger.2018.146.2659 |
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https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2659 https://hdl.handle.net/10906/83431 https://doi.org/10.18046/j.estger.2018.146.2659 |
| dc.language.iso.spa.fl_str_mv |
eng |
| language |
eng |
| dc.relation.ispartof.none.fl_str_mv |
Estudios Gerenciales, Vol. 34, No.146 - 2018 |
| dc.relation.citationstartpage.none.fl_str_mv |
34 |
| dc.relation.citationendpage.none.fl_str_mv |
41 |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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info:eu-repo/semantics/openAccess |
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Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
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openAccess |
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23 páginas |
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Digital |
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Cali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees. |
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Universidad Icesi |
| dc.publisher.faculty.spa.fl_str_mv |
Facultad de Ciencias Administrativas y Económicas |
| dc.publisher.program.spa.fl_str_mv |
Economía |
| dc.publisher.department.spa.fl_str_mv |
Departamento de Economía |
| dc.publisher.place.spa.fl_str_mv |
Santiago de Cali |
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Universidad ICESI |
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Legendre, FrançoisManco López, OscarMedina Hurtado, SantiagoBotero, Oscarosmalo@gmail.comCali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees.2018-04-30T16:17:51Z2018-04-30T16:17:51Z2018-01-010123-5923https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2659https://hdl.handle.net/10906/83431https://doi.org/10.18046/j.estger.2018.146.2659instname:Universidad Icesireponame:Biblioteca Digitalrepourl:https://repository.icesi.edu.co/In this article we propose a new methodology for measuring companies with financial risk exposure, based on the concept of duration in assets and liabilities management that can be applied in corporate portfolios. Risk indicators in banks usually try to measure the dynamic of accounts in the income statement and capital levels. With this research, we demonstrate how the methodology can be applied from banks to any company or industry sector. Then, we compare the methods for managing accounts in financial institutions and also identifying their adaptability to any type of corporation. We also made a comparison between the management elements used in financial markets and organizations assets, verifying their adaptability level. Finally, we present a real case study.In this article we propose a new methodology for measuring companies with financial risk exposure, based on the concept of duration in assets and liabilities management that can be applied in corporate portfolios. Risk indicators in banks usually try to measure the dynamic of accounts in the income statement and capital levels. With this research, we demonstrate how the methodology can be applied from banks to any company or industry sector. Then, we compare the methods for managing accounts in financial institutions and also identifying their adaptability to any type of corporation. We also made a comparison between the management elements used in financial markets and organizations assets, verifying their adaptability level. Finally, we present a real case study.23 páginasDigitalengUniversidad IcesiFacultad de Ciencias Administrativas y EconómicasEconomíaDepartamento de EconomíaSantiago de CaliEstudios Gerenciales, Vol. 34, No.146 - 20183441EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos. Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic riskMetodología de valoración de riesgos: implementación del gap de duraciones en portafolios corporativos con el fin de reducir el riesgo sistémicoComunidad Universidad Icesi - Investigadores34146Valoración de riesgosRiesgo financieroIndicadores financierosMercados financierosPortafolio financierohttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleORIGINALdocumento.htmldocumento.htmltext/html373https://repository.icesi.edu.co/bitstreams/ba992926-a7c0-4035-a544-071efb57df66/downloadc81aa0452be14b730fbd4ccf416a7f68MD51LICENSElicense.txtlicense.txttext/plain1748https://repository.icesi.edu.co/bitstreams/876f85dd-d0d2-48df-b49f-6a23f354cb0a/download8a4605be74aa9ea9d79846c1fba20a33MD5210906/83431oai:repository.icesi.edu.co:10906/834312025-03-13 14:18:11.409http://creativecommons.org/licenses/by-nc-nd/4.0/Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)open.accesshttps://repository.icesi.edu.coBiblioteca Digital - Universidad Icesiadquisicion-bib@listas.icesi.edu.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 |