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Title: Incorporación y modelación del riesgo de liquidez en el Acuerdo de Basilea
Authors: Agudelo Montes, Juan Manuel
Santa María Uribe, Manuel
Adviser: Lotero Botero, Jorge
Keywords: Organización e industria;Basle iii accord;Acuerdo de basilea iii;Crisis monetaria;Plan anticrisis;Organization and industry;Monetary crisis;Anti-crisis plan
Issue Date: 2009
Publisher: Universidad EIA
Abstract: En el presente proyecto se realiza la incorporación del riesgo de liquidez de mercado en el Acuerdo de Basilea II mediante un modelo de simulación que permite cuantificar el riesgo de liquidez en el que incurre una entidad cuando va a liquidar un activo. This project is the incorporation of market liquidity risk in the Basel II Accord using a simula- tion model which quantifies the risk of liquidity in which an entity incurs when it liquidates an asset. The purpose of this incorporation into Basel II is to demand businesses to have capital reserves that enable them to cover potential losses that are caused by being unable to liquidate portfolios at the valued price, at any given time, including crisis.
Description: 118 páginas
Appears in Collections:Ingeniería Administrativa

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