Beruflich Dokumente
Kultur Dokumente
MATRIZ DE PRECIOS
FECHAS ARGOS BANCOLOMBIA
1 1/3/2021 5610 30710
2 25/2/2021 5845 30300
3 24/2/2021 5845 31800
4 23/2/2021 5815 31050
5 22/2/2021 5770 31000
6 19/2/2021 5740 31100
7 18/2/2021 5770 30890
8 17/2/2021 5895 31200
9 16/2/2021 5910 30900
10 15/2/2021 5815 30900
11 12/2/2021 5865 30850
12 11/2/2021 5930 31060
13 10/2/2021 5750 31510
14 9/2/2021 5810 31690
15 8/2/2021 5870 31650
16 5/2/2021 5870 31500
17 4/2/2021 5900 31000
18 3/2/2021 6000 31000
19 2/2/2021 5930 31610
20 1/2/2021 5820 31210
21 29/1/2021 5840 30600
22 28/1/2021 5810 29900
23 27/1/2021 5830 30000
24 26/1/2021 5830 30800
25 25/1/2021 5870 30480
26 19/1/2021 5950 32860
27 18/1/2021 5860 33450
28 15/1/2021 5865 33100
29 14/1/2021 5930 34380
30 13/1/2021 5915 34580
31 12/1/2021 5900 35000
32 8/1/2021 5870 35100
33 7/1/2021 5700 34310
34 6/1/2021 5865 34100
35 5/1/2021 5860 35670
36 4/1/2021 6100 33500
37 30/12/2020 6180 34980
38 29/12/2020 6140 34880
39 28/12/2020 5865 34500
40 24/12/2020 5705 34100
41 23/12/2020 5750 34040
42 22/12/2020 5820 34370
43 21/12/2020 5600 33060
44 18/12/2020 5835 34900
45 17/12/2020 5800 35200
46 16/12/2020 5715 34010
47 15/12/2020 5615 33730
48 14/12/2020 5650 32700
49 11/12/2020 5480 32000
50 10/12/2020 5485 31720
51 9/12/2020 5510 32000
52 7/12/2020 5350 30700
53 4/12/2020 5290 30600
54 3/12/2020 5005 29400
55 2/12/2020 5030 28800
56 1/12/2020 5140 28200
57 30/11/2020 4980 27680
58 27/11/2020 5000 27590
59 26/11/2020 5025 27590
60 25/11/2020 5060 27700
61 24/11/2020 5050 28300
62 23/11/2020 4868 28200
63 20/11/2020 4780 27680
64 19/11/2020 4775 26970
65 18/11/2020 4836 27000
66 17/11/2020 4820 26560
67 13/11/2020 4800 26400
68 12/11/2020 4801 25940
69 11/11/2020 4841 26580
70 10/11/2020 4720 26350
71 9/11/2020 4750 26780
72 6/11/2020 4565 25500
73 5/11/2020 4594 25180
74 4/11/2020 4589 24990
75 3/11/2020 4570 24800
76 30/10/2020 4555 24500
77 29/10/2020 4300 23980
78 28/10/2020 4200 24400
79 27/10/2020 4460 25690
80 26/10/2020 4512 25900
81 23/10/2020 4582 24990
82 22/10/2020 4573 25090
83 21/10/2020 4542 25660
84 20/10/2020 4585 25800
85 19/10/2020 4560 25170
86 16/10/2020 4558 24330
87 15/10/2020 4565 24300
88 14/10/2020 4580 24980
89 13/10/2020 4530 24600
90 9/10/2020 4645 25490
91 8/10/2020 4633 25460
92 7/10/2020 4561 24660
93 6/10/2020 4520 25090
94 5/10/2020 4590 24290
95 2/10/2020 4540 24500
96 1/10/2020 4590 24160
97 30/9/2020 4630 24280
98 29/9/2020 4540 24460
99 28/9/2020 4610 24900
100 25/9/2020 4500 25200
101 24/9/2020 4500 24980
102 23/9/2020 4700 25000
103 22/9/2020 4795 24800
104 21/9/2020 4750 25340
105 18/9/2020 4700 26200
106 17/9/2020 4410 25700
107 16/9/2020 4585 25360
108 15/9/2020 4670 25340
109 14/9/2020 4905 25600
110 11/9/2020 4950 26160
111 10/9/2020 4920 26520
112 9/9/2020 5110 27300
113 8/9/2020 5030 27040
114 7/9/2020 5050 27380
115 4/9/2020 5000 27260
116 3/9/2020 5000 27300
117 2/9/2020 5170 27700
118 1/9/2020 5080 27400
119 31/8/2020 5000 26000
120 28/8/2020 4900 26700
121 27/8/2020 4900 26720
122 26/8/2020 4935 27000
123 25/8/2020 4800 26800
124 24/8/2020 4700 26200
125 21/8/2020 4450 25620
126 20/8/2020 4400 25620
127 19/8/2020 4290 25520
128 18/8/2020 4150 25100
129 14/8/2020 4050 25520
130 13/8/2020 4025 25140
131 12/8/2020 4005 25500
132 11/8/2020 4000 24800
133 10/8/2020 4010 24780
134 6/8/2020 4035 25400
135 5/8/2020 3825 25000
136 4/8/2020 3730 25340
137 3/8/2020 3840 25000
138 31/7/2020 3660 25620
139 30/7/2020 4060 26800
140 29/7/2020 4100 26400
141 28/7/2020 4100 26500
142 27/7/2020 4150 26340
143 24/7/2020 4105 26380
144 23/7/2020 4150 25480
145 22/7/2020 4000 25480
146 21/7/2020 3900 24900
147 17/7/2020 3760 24560
148 16/7/2020 3745 24440
149 15/7/2020 3700 24320
150 14/7/2020 3600 23860
151 13/7/2020 3590 24120
152 10/7/2020 3665 24680
153 9/7/2020 3730 24980
154 8/7/2020 3740 24800
155 7/7/2020 3630 25500
156 6/7/2020 3495 24120
157 3/7/2020 3435 24440
158 2/7/2020 3465 24940
159 1/7/2020 3405 24100
160 30/6/2020 3435 24000
161 26/6/2020 3445 23940
162 25/6/2020 3465 23820
163 24/6/2020 3505 24740
164 23/6/2020 3665 25000
165 19/6/2020 3700 25420
166 18/6/2020 3615 27380
167 17/6/2020 3490 25600
168 16/6/2020 3430 25360
169 12/6/2020 3510 25500
170 11/6/2020 3385 25700
171 10/6/2020 3800 25220
172 9/6/2020 3730 26300
173 8/6/2020 3880 29000
174 5/6/2020 3740 29600
175 4/6/2020 3630 28600
176 3/6/2020 3635 27320
177 2/6/2020 3600 26800
178 1/6/2020 3600 25000
179 29/5/2020 3500 25020
180 28/5/2020 3460 25000
181 27/5/2020 3510 23700
182 26/5/2020 3575 23980
183 22/5/2020 3510 22300
184 21/5/2020 3575 21220
185 20/5/2020 3510 21700
186 19/5/2020 3600 21520
187 18/5/2020 3615 21620
188 15/5/2020 3650 22240
189 14/5/2020 3355 21520
190 13/5/2020 3340 21480
191 12/5/2020 3530 22260
192 11/5/2020 3645 23500
193 8/5/2020 3710 23600
194 7/5/2020 3720 24000
195 6/5/2020 3610 24240
196 5/5/2020 3650 23000
197 4/5/2020 3730 23780
198 30/4/2020 3895 24140
199 29/4/2020 3850 25320
200 28/4/2020 3775 25020
201 27/4/2020 3700 25500
202 24/4/2020 3750 24500
203 23/4/2020 3800 23040
204 22/4/2020 3680 24500
205 21/4/2020 3490 24780
206 20/4/2020 3805 24800
207 17/4/2020 3830 26200
208 16/4/2020 3860 26500
209 15/4/2020 3855 26880
210 14/4/2020 3945 26800
211 13/4/2020 3820 26720
212 8/4/2020 3905 26960
213 7/4/2020 4005 26100
214 6/4/2020 4015 26000
215 3/4/2020 3945 25400
216 2/4/2020 3990 23800
217 1/4/2020 3900 23800
218 31/3/2020 4090 24000
219 30/3/2020 3875 25080
220 27/3/2020 4000 25040
221 26/3/2020 3930 25700
222 25/3/2020 3300 25800
223 24/3/2020 2700 22000
224 20/3/2020 2500 18500
225 19/3/2020 2420 18700
226 18/3/2020 2550 20100
227 17/3/2020 3200 20000
228 16/3/2020 3040 22880
229 12/3/2020 4000 23440
230 11/3/2020 4430 28600
231 10/3/2020 4465 29900
232 9/3/2020 4220 31720
233 6/3/2020 5050 31420
234 5/3/2020 5110 36700
235 4/3/2020 5080 37540
236 3/3/2020 4920 37500
237 2/3/2020 5300 36740
238 28/2/2020 5120 38120
239 27/2/2020 5200 39000
240 26/2/2020 5250 39500
241 25/2/2020 5460 39680
242 24/2/2020 5610 40340
243 21/2/2020 5800 40080
244 20/2/2020 6060 40520
245 19/2/2020 6110 43860
246 18/2/2020 6120 44180
247 17/2/2020 6180 43900
248 14/2/2020 6200 44460
249 13/2/2020 6200 44700
250 12/2/2020 6230 44480
251 11/2/2020 6140 43980
252 10/2/2020 6220 44080
PRÀCTICA DE RIESGO(MVC)
VaR para un portafolio con varios activos
CELSIA
1500 2000
200
10%
ARGOS
ARGOS 1
BANCOLOMBIA 0.256598628553368
CELSIA 0.155409590910673
VaR Diversificado
VaR en u.m. diario del portafolio (Con 99% de N.de C.), sin promedio. 86.5838648363328
BD 32.8449658180042
MATRIZ DE RENTABILIDADES (Continuas) DIARIAS
BANCOLOMBIA CELSIA
0.0134406219374076 -0.01673679235552
-0.0483185772708077 0.004158010148664
0.0238674814066435 0.021053409197832
0.00161160389434161 0.002983168630409
-0.00322061470004217 -0.00298316863041
0.00677531225469805 -0.00636269378783
-0.0099855878849463 -0.0010565241342
0.00966191091173689 -0.00316289140851
0 0.002529512309956
0.00161943355230298 0.003594464172444
-0.0067840673691442 -0.00401649414284
-0.0143841380486422 -0.00294923323102
-0.00569621793364618 -0.00335993596225
0.00126302511264427 -0.01022013275795
0.0047506027585978 0.002493248746372
0.0160003413464411 0.020809999513793
0 0.000849978801705
-0.0194863217423801 -0.00551199190752
0.0127349699448382 0.010627092574286
0.0197385473243529 -0.02531780798429
0.0231415285616943 0.012156930270632
-0.0033389012655146 -0.01007142377961
-0.0263173083173734 -0.00208550649102
0.0104439591610833 0.001042209578444
-0.0751853817906765 0.023207792645016
-0.0177956739651154 -0.00277097054634
0.0105185041912203 0.005977814555915
-0.037941717571686 -0.02328147482256
-0.00580048030044124 -0.00417537141048
-0.0120725812342692 0.010050335853502
-0.0028530689824064 -0.00587496444302
0.0227642736014617 -0.00833338155914
0.00613947258088719 0.000207490404313
-0.0450126150813291 -0.00020749040431
0.0627645605397793 0
-0.0432310307594352 -0.01605303046747
0.00286287054967716 0.005938381329412
0.0109542750034647 0.008870609997724
0.011661939747843 0.028585384744652
0.00176108058429782 0.004273510777382
-0.00964778715656917 -0.01698554636574
0.0388599984688645 -0.00608670154947
-0.0541627368155033 0.018798737137833
-0.00855925339566995 0.004273510777382
0.0343914835849474 0.004291852081541
0.00826694994554514 0.008422466374696
0.0310125711703511 0.000216896216011
0.0216391751034812 0.000650971054777
0.00878850603307934 -0.02253556039551
-0.00878850603307935 -0.00550265938731
0.0414732482065751 0.012316995807038
0.00326264563481637 0.012903404835908
0.0400053346136992 0.004338401598598
0.0206192872027356 0.014231219927949
0.0210534091978323 0.007747686790826
0.018611847194599 0.002670228555879
0.00325674252027407 0.004018759594918
0 0.00425961859176
-0.00397902496409804 0.003150317636945
-0.0214293914558992 0.008373931472557
0.00353982670512399 -0.00022724690474
0.018611847194599 -0.00882258861518
0.0259849935978302 0.006779686985379
-0.00111172885269043 0.017383786344587
0.016430541396096 -0.0048337071903
0.00604231445596266 0.009227285769075
0.0175778312639726 -0.01517968429637
-0.0243728743968014 0.018661986132245
0.00869077829772799 -0.02978456135753
-0.0161870652756551 0.018453650441543
0.0489768880986461 0.003224323382996
0.0126284235481793 -0.00483259483821
0.00757428376934019 0.009225157674826
0.00763209167592444 0.02581697011538
0.0121705356202551 -0.04554690582376
0.0214529679513131 -0.01084511307388
-0.017362982699788 -0.01139549813265
-0.051518678822636 -0.01082763865206
-0.00814115758369988 -0.01288368077551
0.0357672238586311 -0.00021694327019
-0.00399361553146988 -0.00130067219724
-0.0224639988091594 -0.00302833889234
-0.00544113274008134 0.006500564603093
0.0247216827803473 0
0.0339426523517933 0.012909051379235
0.00123380644892857 -0.02156711412235
-0.0275991543509288 0.008658062743115
0.0153290617591144 -0.00865806274311
-0.0355397754497069 0.000215540468557
0.00117762525876354 0.001941957671464
0.0319260953930623 0.010857869972049
-0.0172868626421327 0.00218579321998
0.0324046173642498 -0.01627816735969
-0.00860837453660016 0.018468748739507
0.0139747444840671 -0.01307208156735
-0.00495459312468334 0.019672765598705
-0.00738616406772878 -0.00550359121698
-0.0178286732116356 0.027825946654877
-0.0119761910467157 -0.00338028490882
0.00876848981994605 -0.00672648276095
-0.000800320170769155 -0.01000564211732
0.00803217169726425 -0.03050345429341
-0.0215405217220565 0.024987720508112
-0.0333752358740582 0.005515733785302
0.019268418865877 0.004434597067866
0.0133178623321489 0.00445435034938
0.0007889546760321 -0.00667410708769
-0.0102081765925238 0.014517284548719
-0.0216391751034812 -0.00448934536259
-0.0136676387286638 -0.01224277951568
-0.0289875368732523 -0.00661523911872
0.00956945101615067 0
-0.0124955686855395 -0.01092907053219
0.00439239359191625 -0.00865806274311
-0.00146627592252749 0.001078167220345
-0.0145457110023788 -0.00752287266299
0.0108893997992683 0.006444705442642
0.0524464753725425 0.002157498140021
-0.0265670273847217 -0.00645858003941
-0.000748783262241123 0.00214822853829
-0.0104245173358841 0.012987195526811
0.00743497848751799 0.023141528561694
0.0226424767497598 0.010084119066626
0.022386114298463 0.004514680354527
0 0.010233176280029
0.00391083799199916 -0.00114220457878
0.0165946123388508 0.012636584004512
-0.0165946123388509 0.0092915883341
0.0150022553144878 -0.00697677248565
-0.0142182490022791 0.009313222146668
0.0278347989934441 0.012948974340803
0.00080677696994011 -0.0176164273883
-0.0247122978234945 0.017616427388298
0.0158733491562902 0.003560834623009
-0.0135083500247922 0
0.0135083500247923 0
-0.0244974716003875 -0.01767871616879
-0.0450285910482228 0
0.0150378773645405 0
-0.00378072283990604 -0.00930239266231
0.00605603667704161 0.002317498140362
-0.00151745097403361 -0.01725172170849
0.034712316585206 0.026575798583613
0 -0.00700119545898
0.0230260272333006 0.002328289759591
0.0137487001917201 0.012903404835908
0.00489796897554716 0.008298802814695
0.00492207720542823 0
0.0190956404281962 -0.00711746776886
-0.0108379551892146 0.010695289116748
-0.0229518271782024 0.005991629668267
-0.0120823056602445 0.003612285685914
0.00723185152649519 0.013357818532548
-0.027834798993444 -0.00122174725032
0.0556370803053957 -0.00851068966791
-0.0131797624444098 0.007290433262679
-0.0202518059484958 -0.00365186041877
0.0342610997552812 0
0.00415801014866368 0.013455860515392
0.00250313021811847 0
0.00502513620267298 0.002466092495193
-0.0378958030371878 0
-0.0104544579038589 -0.00492611833606
-0.0166604408931072 -0.02066942885291
-0.0742765540989948 0.001204094064805
0.0672204683747861 -0.00959239969144
0.00941922191649156 -0.00119260598512
-0.00550532259535529 0.002386635977731
-0.00781253973679362 -0.02827043393826
0.0188536613644006 0.016393809775676
-0.0419316086469453 0.003548200056097
-0.0977268908027551 0.004750602758598
-0.0204785313435407 -0.011834457647
0.0343676435042078 -0.01864855907807
0.0457876831232176 0.066850660895951
0.0192171471857784 0.012422519998557
0.0695260626486103 -0.01980262729618
-0.00079968017056429 -0.00975617494536
0.000799680170564244 0.014670189747794
0.0534007767271152 -0.00980400009662
-0.0117451014582827 -0.00729043326268
0.072633471133295 0.022032714999883
0.0496425452802359 0
-0.0223681273605768 0
0.0083295252528302 -0.0147422817372
-0.00463607691747855 0.014742281737204
-0.0282736571713195 0
0.032909734088798 -0.0147422817372
0.00186046565291967 -0.00607904607638
-0.0356690762067348 -0.01085001602407
-0.0542090753027146 -0.02252614513293
-0.0042462908814511 -0.01858357777371
-0.0168071183163813 0.033941233428033
-0.00995033085316809 0.005970166986504
0.052509945271964 0
-0.0333506753334861 -0.0059701669865
-0.0150253244067496 -0.0212022076506
-0.04772438160659 -0.00465117117573
0.0119190922372103 0.014018921179331
-0.0190029471256154 -0.01169603976319
0.0400053346136992 0.046409279795125
0.0614412817229908 -0.02287878238493
-0.0614412817229909 0.007168489478613
-0.0113637586503151 -0.06498806036744
-0.000806776969940145 0.034289073478632
-0.0549157575961147 0.002328289759591
-0.0113853222251254 0
-0.0142377826627723 0
0.00298062813813772 0.025975486403261
0.00298953884836599 0.018105503632274
-0.00894193737566128 -0.01451053271441
0.0324189717154585 0.010863112257371
0.00383877630716567 0.029558802241545
0.0233473639969911 -0.02955880224154
0.0650635933470619 -0.04043356957849
0 0.021202207650603
-0.00836824967051658 0
-0.0440168854167743 -0.03509131981127
0.00159616953282213 0.037475111166546
-0.0260164456692764 0.070442950642397
-0.00388350002639763 0.066161690089908
0.159332038569256 -0.01223672644844
0.173271721274037 0.069958588606911
-0.0107527917762619 -0.09134977858823
-0.0721962912044891 0.071263020021491
0.00498754151103897 -0.15252598410026
-0.134530892957606 -0.06491954609932
-0.0241807981972147 -0.03039063370501
-0.198962753116995 0.05820239148925
-0.0444517625708338 -0.05709312903496
-0.0590889163700064 -0.02086841243475
0.00950276393917211 -0.01295914464251
-0.15533212223305 0.019502243231441
-0.0226302760978381 -0.00436681916634
0.00106609818199773 0.01980262729618
0.0204748531893855 -0.023065272931
-0.0368729989990218 -0.03100194833928
-0.0228225673436451 -0.01359142720354
-0.0127390257774297 0.013591427203539
-0.00454661050959584 0.021277398447285
-0.0164962501093937 0.01626052087178
0.00646607574945636 0.008781615160385
-0.0109182226038733 0.012202037140206
-0.0792070636092595 0.001116694700075
-0.00726945500222896 -0.00445931619676
0.00635787791084549 0.007816901891611
-0.0126755884549249 0.013544225107757
-0.00538359308347264 -0.00340329313171
0.00493385167719613 -0.00226244440397
0.0113046648157117 -0.01011813016558
-0.00227117971804391 -0.01443667494162
BANCOLOMBIA CELSIA
-0.00143991167486824 0.00017614363
0.00124988022696554 0.00047093005
3.54% 2.17%
15% 75%
Relación entre
24.6734631858192 75.725843616 119.42883
VaR No diversificado
BANCOLOMBIA CELSIA
0.256598628553368 0.155409590910673
1 0.027457007813975
0.0274570078139751 1
Supongamos que VaR diario de A es 3 m
activos, depende de la correlación:
86.5838648363328 VaR1 VaR2
3 5
Correlación VaRp
1.0 8.00
0.7 7.416
0.4 6.78
0.0 5.83
-0.4 4.69
-0.7 3.61
-1.0 2.00
Ejemplo 3
7.41619849
En general
Relación entre VaRes-(Sin promedios!)
R diario de A es 3 millón y el VaR diario de B es 5 millones, entonces el VaR diario del portafolio formado con
la correlación:
Suma de VaRes
8 VaR no diversificado
es posibles de la correlación se tiene que el VaR total es menor o igual que las suma de los Vares individuales
e cumple que
VaR No diversificado No tiene en cuenta la correlación entre los activo
Propiedad de Subaditividad
VaR diversificado Tiene en cuenta la correlación entre los activos
Siempre >=0
ficación es la disminución en la pérdida potencial, como efecto de las correlaciones entre los activos .
ndiendo del horizonte de tiempo con el que trabajamos
s en forma matricial
5 1 0.7
0.7 1
ares individuales.
rrelación entre los activos
VaRp 49.75197
BD 26.85544
2000
1
76.6074101
VaR NO div.