Una aproximación al CVA para instituciones financieras en Colombia

A CVA approach for financial institutions in Colombia

Contenido principal del artículo

Andrés Felipe Páez Montaña

Resumen

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.

Palabras clave:

Descargas

Los datos de descargas todavía no están disponibles.

Detalles del artículo

Referencias (VER)

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).

Citado por