文章基本信息

标题：Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk
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作者：Oscar Manco López ; Santiago Medina Hurtado ; Oscar Botero 等
期刊名称：Estudios Gerenciales
印刷版ISSN：0123-5923
出版年度：2018
卷号：34
期号：146
页码：34-41
DOI：10.18046/j.estger.2018.146.2659
语种：English
出版社：Universidad Icesi
摘要：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.
关键词：Indicador clave de riesgo;Convexidad;Duración;Gap de duraciones;Inmunización