Measurement of credit and market risk in Colombia

La palabra riesgo proviene del latín risicare, que significa atreverse o transitar por un sendero peligroso. Tiene un significado negativo relacionado con peligro, daño o pérdida. Sin embargo, el riesgo es parte inevitable de los procesos de toma de decisiones en general y de los procesos de inversión en particular. También se relaciona con las pérdidas potenciales que se pueden sufrir en portafolios de inversión.The word risk comes from the Latin word risicare, which means to dare or walk a dangerous path. Have a negative meaning related to danger, damage or loss. However, risk is an unavoidable part of decision-making processes in general and investment processes in particular. It is also related to the potential losses that can be suffered in investment portfolios

Modelo LDA para medición avanzada de riesgo operativo

El propósito de este documento es presentar los resultados simulados de la aplicación de un modelo de medición de riesgo operacional (ro) y los beneficios que se obtienen cuando se utiliza un proceso adecuado que permita identificar las fuentes generadoras de riesgo, que sirvan de soporte a la etapa de control mediante el seguimiento de indicadores para la mitigación de riesgos operacionales. El enfoque principal está en uno de los modelos avanzados de medición del ro sugeridos por Basilea, específicamente el enfoque de distribución de pérdidas (LDA, por su sigla en inglés), aplicado a tres tipos de eventos de RO en una de las líneas de negocio para una entidad financiera en Colombia. La cuantificación con valor en riesgo operacional (OPVaR) utiliza dos métodos que sirven de comparación, y se determina por las características de las distribuciones en el cálculo de las pérdidas esperadas y no esperadas de cada evento, con la estimación de un intervalo de valores que podrá ser el referente para la entidad al mantener un capital económico requerido que cubra exposiciones futuras por RO.This paper presents the simulated results after the application of an operational risk measurement model, and the benefits obtained when an adequate process is followed to identify risk-generating sources. This serves as support to the control stage through the monitoring of indicators to mitigate operational risks. The main approach of this study lies on one of the advanced operational risk measurement models suggested by Basilea, specifically the loss distribution approach (lda), applied to three types of operational risk events in one of the business lines of a financial institution in Colombia. Operational Value-at-Risk (OpVaR) quantification was made under two comparison methods, and determined by the characteristics of distributions in the calculation of expected and unexpected losses for each event. Results show an estimate of the range of values that may be the point of reference for the organization in order to maintain a required economic capital that covers future exposures to operational risk.o propósito deste documento é apresentar os resultados simulados da aplicação de um modelo de medição de risco operacional (ro), assim como os benefícios que são obtidos quando se utiliza um processo adequado que permita identificar as fontes geradoras de risco, que sirvam de suporte à etapa de controle mediante o seguimento de indicadores para a mitigação de riscos operacionais. A abordagem principal está em um dos modelos avançados de medição do RO sugeridos por Basilea, especificamente, a abordagem de distribuição de perdas (LDA, por sua sigla em inglês), aplicado a três tipos de eventos de RO em uma das linhas de negócio para uma entidade financeira na Colômbia. A quantificação com Valor em Risco Operacional (OPVaR) utiliza dois métodos que servem de comparação, e são determinados pelas características das distribuições no cálculo das perdas esperadas e não esperadas de cada evento, com a estimativa de um intervalo de valores que poderá ser o referencial para a entidade ao manter um capital econômico requerido que cubra exposições futuras por RO

Options. Journal of the UNAB Financial Engineering Program. Volume 2 No. 4 September 2008

La Facultad de Ingenierías Administrativas y el programa de ingeniería Financiera, presentan a la comunidad académica un nuevo número de la revista opciones, en la cual se destacan temas de interés y actualidad relacionados con éstas áreas, así como los últimos acontecimientos ocurridos en el programa, todo con alto impacto en nuestros estudiantes y el sector empresarial.Medición del riesgo de crédito y de mercado en Colombia.- 7 Utilización de la teoría de la logística inversa, en el reciclaje, substitución y re-uso de materiales y la disposición de desperdicios. - 15 Teoría de subastas y mercados de energía eléctrica.- 19 Los problemas de no tener el control de la moneda. - 29 Factores relevantes en el financiamiento de empresas jóvenes en la visión de los emprendedores de Argentina. - 33 Mercado de derivados.- 49 Los modelos de valoración de derivados: una construcción de destacados científicos. - 55 Las tasas de interés, la inflación y el deterioro de la cartera. - 59The Faculty of Administrative Engineering and the Financial Engineering program present to the academic community a new issue of the Options magazine, which highlights topics of interest and current affairs related to these areas, as well as the latest events that have occurred in the program. all with a high impact on our students and the sector business

Impact of COVID-19 on cardiovascular testing in the United States versus the rest of the world

Objectives: This study sought to quantify and compare the decline in volumes of cardiovascular procedures between the United States and non-US institutions during the early phase of the coronavirus disease-2019 (COVID-19) pandemic. Background: The COVID-19 pandemic has disrupted the care of many non-COVID-19 illnesses. Reductions in diagnostic cardiovascular testing around the world have led to concerns over the implications of reduced testing for cardiovascular disease (CVD) morbidity and mortality. Methods: Data were submitted to the INCAPS-COVID (International Atomic Energy Agency Non-Invasive Cardiology Protocols Study of COVID-19), a multinational registry comprising 909 institutions in 108 countries (including 155 facilities in 40 U.S. states), assessing the impact of the COVID-19 pandemic on volumes of diagnostic cardiovascular procedures. Data were obtained for April 2020 and compared with volumes of baseline procedures from March 2019. We compared laboratory characteristics, practices, and procedure volumes between U.S. and non-U.S. facilities and between U.S. geographic regions and identified factors associated with volume reduction in the United States. Results: Reductions in the volumes of procedures in the United States were similar to those in non-U.S. facilities (68% vs. 63%, respectively; p = 0.237), although U.S. facilities reported greater reductions in invasive coronary angiography (69% vs. 53%, respectively; p < 0.001). Significantly more U.S. facilities reported increased use of telehealth and patient screening measures than non-U.S. facilities, such as temperature checks, symptom screenings, and COVID-19 testing. Reductions in volumes of procedures differed between U.S. regions, with larger declines observed in the Northeast (76%) and Midwest (74%) than in the South (62%) and West (44%). Prevalence of COVID-19, staff redeployments, outpatient centers, and urban centers were associated with greater reductions in volume in U.S. facilities in a multivariable analysis. Conclusions: We observed marked reductions in U.S. cardiovascular testing in the early phase of the pandemic and significant variability between U.S. regions. The association between reductions of volumes and COVID-19 prevalence in the United States highlighted the need for proactive efforts to maintain access to cardiovascular testing in areas most affected by outbreaks of COVID-19 infection

Título de pagamento diferido um instrumento de financiamento para a inclusão de PME no segundo regime de mercado na Colômbia

The SMEs in Colombia are an economic engine and provide the 76% of employment (Supersociedades, Abril 2012). For to achieve growth and continuity they come to the financial system looking financial resources, with limited policies of credit risk for this target, with restrictive in amount and term; further the providers go on presents like a financial leverage working capital, with an implicit financial that impact on the profit margin and financial structure. The Colombian Ministry of Treasury and public credit, with the decrees 2555/2010 and 1019/2014 promotes the second market, an alternative in the inclusion of issuers to stock market and the opportunity to propose the “ Title Deferred Payment - TDP”, an instrument of leverage short term.The SMEs in Colombia are an economic engine and provide the 76% of employment (Supersociedades, Abril 2012). For to achieve growth and continuity they come to the financial system looking financial resources, with limited policies of credit risk for this target, with restrictive in amount and term; further the providers go on presents like a financial leverage working capital, with an implicit financial that impact on the profit margin and financial structure. The Colombian Ministry of Treasury and public credit, with the decrees 2555/2010 and 1019/2014 promotes the second market, an alternative in the inclusion of issuers to stock market and the opportunity to propose the “ Title Deferred Payment - TDP”, an instrument of leverage short term.As PME na Colômbia são um motor econômico e geram 76% do emprego (Supersociedades, abril de 2012). Para crescer e sustentar eles vão ao sistema financeiro em busca de fontes de recursos financeiros, encontrando limites para políticas de risco de crédito e restrições de quantidade e prazo para este segmento. É por isso que os fornecedores ainda estão presentes como uma alavanca financeira para capital de giro, com um custo financeiro implícito que afeta a margem de lucro e a estrutura financeira. O Ministério das Finanças e Crédito Público da Colômbia, com os Decretos 2555/2010 e 1019/2014, promove o segundo mercado, uma alternativa para a inclusão de emissores no mercado de ações e a oportunidade de propor o “Título de Pagamento Diferido-TPD”, como Instrumento de financiamento de curto prazo

Advanced Operational Risk Measurement with LDA Model

This paper presents the simulated results after the application of an operational risk measurement model, and the benefits obtained when an adequate process is followed to identify risk-generating sources. This serves as support to the control stage through the monitoring of indicators to mitigate operational risks. The main approach of this study lies on one of the advanced operational risk measurement models suggested by Basilea, specifically the loss distribution approach (lda), applied to three types of operational risk events in one of the business lines of a financial institution in Colombia. Operational Value-at-Risk (OpVaR) quantification was made under two comparison methods, and determined by the characteristics of distributions in the calculation of expected and unexpected losses for each event. Results show an estimate of the range of values that may be the point of reference for the organization in order to maintain a required economic capital that covers future exposures to operational risk

Título de pago diferido

The SMEs in Colombia are an economic engine and provide the 76% of employment (Supersociedades, Abril 2012). For to achieve growth and continuity they come to the financial system looking financial resources, with limited policies of credit risk for this target, with restrictive in amount and term; further the providers go on presents like a financial leverage working capital, with an implicit financial that impact on the profit margin and financial structure. The Colombian Ministry of Treasury and public credit, with the decrees 2555/2010 and 1019/2014 promotes the second market, an alternative in the inclusion of issuers to stock market and the opportunity to propose the “ Title Deferred Payment - TDP”, an instrument of leverage short term.As PME na Colômbia são um motor econômico e geram 76% do emprego (Supersociedades, abril de 2012). Para crescer e sustentar eles vão ao sistema financeiro em busca de fontes de recursos financeiros, encontrando limites para políticas de risco de crédito e restrições de quantidade e prazo para este segmento. É por isso que os fornecedores ainda estão presentes como uma alavanca financeira para capital de giro, com um custo financeiro implícito que afeta a margem de lucro e a estrutura financeira. O Ministério das Finanças e Crédito Público da Colômbia, com os Decretos 2555/2010 e 1019/2014, promove o segundo mercado, uma alternativa para a inclusão de emissores no mercado de ações e a oportunidade de propor o “Título de Pagamento Diferido-TPD”, como Instrumento de financiamento de curto prazo

Reduction of cardiac imaging tests during the COVID-19 pandemic: The case of Italy. Findings from the IAEA Non-invasive Cardiology Protocol Survey on COVID-19 (INCAPS COVID)

Background: In early 2020, COVID-19 massively hit Italy, earlier and harder than any other European country. This caused a series of strict containment measures, aimed at blocking the spread of the pandemic. Healthcare delivery was also affected when resources were diverted towards care of COVID-19 patients, including intensive care wards. Aim of the study: The aim is assessing the impact of COVID-19 on cardiac imaging in Italy, compare to the Rest of Europe (RoE) and the World (RoW). Methods: A global survey was conducted in May–June 2020 worldwide, through a questionnaire distributed online. The survey covered three periods: March and April 2020, and March 2019. Data from 52 Italian centres, a subset of the 909 participating centres from 108 countries, were analyzed. Results: In Italy, volumes decreased by 67% in March 2020, compared to March 2019, as opposed to a significantly lower decrease (p &lt; 0.001) in RoE and RoW (41% and 40%, respectively). A further decrease from March 2020 to April 2020 summed up to 76% for the North, 77% for the Centre and 86% for the South. When compared to the RoE and RoW, this further decrease from March 2020 to April 2020 in Italy was significantly less (p = 0.005), most likely reflecting the earlier effects of the containment measures in Italy, taken earlier than anywhere else in the West. Conclusions: The COVID-19 pandemic massively hit Italy and caused a disruption of healthcare services, including cardiac imaging studies. This raises concern about the medium- and long-term consequences for the high number of patients who were denied timely diagnoses and the subsequent lifesaving therapies and procedures

International Impact of COVID-19 on the Diagnosis of Heart Disease

Background: The coronavirus disease 2019 (COVID-19) pandemic has adversely affected diagnosis and treatment of noncommunicable diseases. Its effects on delivery of diagnostic care for cardiovascular disease, which remains the leading cause of death worldwide, have not been quantified. Objectives: The study sought to assess COVID-19's impact on global cardiovascular diagnostic procedural volumes and safety practices. Methods: The International Atomic Energy Agency conducted a worldwide survey assessing alterations in cardiovascular procedure volumes and safety practices resulting from COVID-19. Noninvasive and invasive cardiac testing volumes were obtained from participating sites for March and April 2020 and compared with those from March 2019. Availability of personal protective equipment and pandemic-related testing practice changes were ascertained. Results: Surveys were submitted from 909 inpatient and outpatient centers performing cardiac diagnostic procedures, in 108 countries. Procedure volumes decreased 42% from March 2019 to March 2020, and 64% from March 2019 to April 2020. Transthoracic echocardiography decreased by 59%, transesophageal echocardiography 76%, and stress tests 78%, which varied between stress modalities. Coronary angiography (invasive or computed tomography) decreased 55% (p &lt; 0.001 for each procedure). In multivariable regression, significantly greater reduction in procedures occurred for centers in countries with lower gross domestic product. Location in a low-income and lower–middle-income country was associated with an additional 22% reduction in cardiac procedures and less availability of personal protective equipment and telehealth. Conclusions: COVID-19 was associated with a significant and abrupt reduction in cardiovascular diagnostic testing across the globe, especially affecting the world's economically challenged. Further study of cardiovascular outcomes and COVID-19–related changes in care delivery is warranted

Impact of COVID-19 on Diagnostic Cardiac Procedural Volume in Oceania: The IAEA Non-Invasive Cardiology Protocol Survey on COVID-19 (INCAPS COVID)

Objectives: The INCAPS COVID Oceania study aimed to assess the impact caused by the COVID-19 pandemic on cardiac procedure volume provided in the Oceania region. Methods: A retrospective survey was performed comparing procedure volumes within March 2019 (pre-COVID-19) with April 2020 (during first wave of COVID-19 pandemic). Sixty-three (63) health care facilities within Oceania that perform cardiac diagnostic procedures were surveyed, including a mixture of metropolitan and regional, hospital and outpatient, public and private sites, and 846 facilities outside of Oceania. The percentage change in procedure volume was measured between March 2019 and April 2020, compared by test type and by facility. Results: In Oceania, the total cardiac diagnostic procedure volume was reduced by 52.2% from March 2019 to April 2020, compared to a reduction of 75.9% seen in the rest of the world (p&lt;0.001). Within Oceania sites, this reduction varied significantly between procedure types, but not between types of health care facility. All procedure types (other than stress cardiac magnetic resonance [CMR] and positron emission tomography [PET]) saw significant reductions in volume over this time period (p&lt;0.001). In Oceania, transthoracic echocardiography (TTE) decreased by 51.6%, transoesophageal echocardiography (TOE) by 74.0%, and stress tests by 65% overall, which was more pronounced for stress electrocardiograph (ECG) (81.8%) and stress echocardiography (76.7%) compared to stress single-photon emission computerised tomography (SPECT) (44.3%). Invasive coronary angiography decreased by 36.7% in Oceania. Conclusion: A significant reduction in cardiac diagnostic procedure volume was seen across all facility types in Oceania and was likely a function of recommendations from cardiac societies and directives from government to minimise spread of COVID-19 amongst patients and staff. Longer term evaluation is important to assess for negative patient outcomes which may relate to deferral of usual models of care within cardiology