PRÀCTICA DE RIESGO(MVC)

VaR para un portafolio con varios activos

ACCCIONES ARGOS BANCOLOMBIA
MONTOS-VP(Millones) 200 300

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

MATRIZ DE PRECIOS MATRIZ DE RENTABILIDADES (Continua

CELSIA ARGOS
4740 -0.0410358753894268
4820 0
4800 0.00514580895340395
4700 0.00776870545061949
4686 0.00521287018853321
4700 -0.0052128701885331
4730 -0.0214324534693261
4735 -0.00254129742867253
4750 0.016205045447379
4738 -0.00856169613481104
4721 -0.0110217309041953
4740 0.0308243582003751
4754 -0.0103807160545607
4770 -0.0102740629761852
4819 0
4807 -0.00509771707166872
4708 -0.0168071183163813
4704 0.0117352562184209
4730 0.0187239512662876
4680 -0.00343053509678925
4800 0.00515022597631586
4742 -0.0034364294985811
4790 0
4800 -0.00683763347760408
4795 -0.0135365857175333
4685 0.015241615968617
4698 -0.000852878516517515
4670 -0.0110217309041953
4780 0.00253271557928406
4800 0.00253914651867624
4752 0.00509771707166858
4780 0.0293884589995007
4820 -0.0285363072649344
4819 0.000852878516517606
4820 -0.0401391675903443
4820 -0.0130295002903338
4898 0.00649352931054831
4869 0.0458222600536124
4826 0.0276594987913998
4690 -0.00785687149522013
4670 -0.0121004069340873
4750 0.038533664002243
4779 -0.0411076679974158
4690 0.00601634818614569
4670 0.0147636203055996
4650 0.0176527090563676
4611 -0.00621395696794304
4610 0.0305504441984255
4607 -0.000911992767269351
4712 -0.00454752943762952
4738 0.0294680622569079
4680 0.0112783150377073
4620 0.0553808331030241
4600 -0.00498257134446394
4535 -0.0216330953554259
4500 0.0316231884305121
4488 -0.00400802139753882
4470 -0.00498754151103905
4451 -0.00694102935423469
4437 0.00197824001210572
4400 0.0367050681619877
4401 0.0182426286219162
4440 0.00104657257067112
4410 -0.0126939588198527
4334 0.00331400469003729
4355 0.00415801014866368
4315 -0.000208311634958012
4381 -0.00829708140875398
4300 0.0253125113600932
4430 -0.00633581844908578
4349 0.039726103999618
4335 -0.0063325902199747
4356 0.00108896885421005
4316 0.00414893050658315
4206 0.00328767419419171
4402 0.0576105080124049
4450 0.023530497410194
4501 -0.06006424074265
4550 -0.011591748163785
4609 -0.015395069835546
4610 0.00196613935538574
4616 0.00680200099255133
4630 -0.00942266202506146
4600 0.00546748218213339
4600 0.000438692702802135
4541 -0.00153458322343932
4640 -0.00328048407916184
4600 0.010977058631151
4640 -0.0250694327708592
4639 0.00258676583129041
4630 0.0156627087049478
4580 0.00902990388542362
4570 -0.0153680302283139
4645 0.0109530120191971
4560 -0.0109530120191972
4620 -0.00867684402568897
4530 0.0196298560448861
4555 -0.0153008449553005
4430 0.0241504602322831
4445 0
4475 -0.0434851119397388
4520 -0.0200111996193886
4660 0.00942909028885169
4545 0.010582109330537
4520 0.0636878192572582
4500 -0.0389154162496735
4480 -0.0183689659723778
4510 -0.0490960213365205
4445 -0.00913248356327247
4465 0.00607904607638219
4520 -0.0378908737113964
4550 0.0157794201039652
4550 -0.00396825917562062
4600 0.00995033085316809
4640 0
4635 -0.0334347760862373
4670 0.0175614269299472
4640 0.0158733491562902
4630 0.0202027073175195
4660 0
4650 -0.00711746776886399
4590 0.0277367549715996
4485 0.0210534091978323
4440 0.054658412537864
4420 0.0112995552539335
4375 0.0253178079842898
4380 0.0331783986973186
4325 0.0243914531241593
4285 0.00619197024792098
4315 0.00498133035020416
4275 0.0012492194004319
4220 -0.00249688019858715
4295 -0.00621506040343428
4220 0.053447834443413
4205 0.0251502336227749
4205 -0.0290641329439114
4205 0.0480092191863607
4280 -0.103719826200366
4280 -0.00980400009662097
4280 0
4320 -0.0121213605323449
4310 0.0109025913382154
4385 -0.0109025913382154
4270 0.0368139731227164
4300 0.0253178079842898
4290 0.0365575957337975
4235 0.00399734043262039
4200 0.012088797319004
4200 0.0273989741881143
4230 0.00278164296187677
4185 -0.0206761328384273
4160 -0.0175798983171094
4145 -0.0026773777707164
4090 0.0298529631496811
4095 0.0378992725909857
4130 0.017316450011461
4100 -0.00869570696755393
4115 0.0174676930403908
4115 -0.00877198607283699
4060 -0.00290697879130927
4060 -0.00578872817624465
4050 -0.0114778878446869
4050 -0.0446378148520614
4070 -0.00950448431156396
4155 0.0232409640394507
4150 0.0351901193963922
4190 0.0173414750364872
4195 -0.0230557762999259
4185 0.036262131113536
4305 -0.115647160368102
4235 0.0185928330766159
4220 -0.0394269199794579
4200 0.0367495422087414
4250 0.0298529631496811
4330 -0.00137646270872324
4050 0.00967526552341834
4000 0
4080 0.0281708769666962
4120 0.0114943794257352
4060 -0.0143474484081415
4100 -0.0183491386681965
4130 0.0183491386681966
4040 -0.0183491386681965
4040 0.0183491386681966
4040 -0.0253178079842899
4100 -0.00415801014866368
4040 -0.00963531198367214
4040 0.084275397170755
4100 0.00448096343503602
4125 -0.0553270639565963
4170 -0.0320584945154161
4265 -0.0176755111587223
4345 -0.00269179166571141
4200 0.0300158959402656
4175 -0.0110193952496105
4175 -0.021681066061324
4200 -0.0432854456669874
4290 0.0116205310230188
4310 0.0196727655987049
4250 0.0200675630508092
4300 -0.0134230203321407
4105 -0.0132452267500207
4200 0.0320883145515004
4170 0.0530110159665037
4450 -0.0864142550993133
4300 -0.00654881187890544
4290 -0.0078023802841849
4290 0.00129617646144668
4290 -0.0230779472825447
4180 0.0321985316793537
4105 -0.0220073606731655
4165 -0.0252857972286732
4120 -0.00249376687840235
4000 0.0175883931008872
4120 -0.0113422766039345
4290 0.0228146777661713
4200 -0.0475684169191097
4200 0.0539993072494
4350 -0.0317486983145803
4190 0.0176549352387207
3905 0.174716957408735
3655 0.200670695462151
3700 0.0769610411361284
3450 0.0325231917055599
3780 -0.0523258190017398
3520 -0.227057450635346
4100 0.0512932943875505
4375 -0.27443684570176
4510 -0.102105222937154
4255 -0.0078696302714181
4505 0.0564340862805419
 4600 -0.179553115239348
4660 -0.0118111609283446
4570 0.00588814262522253
4590 0.0320027310861737
4500 -0.0743982900538594
4605 0.0345523815066597
4750 -0.0155041865359652
4815 -0.00956945101615067
4750 -0.0392207131532813
4650 -0.0271019297777913
4575 -0.0333071980177687
4535 -0.0438518825288494
4480 -0.00821697310228082
4475 -0.00163532334073075
4495 -0.00975617494536469
4460 -0.00323102058144642
4400 0
4415 -0.00482704074831587
4425 0.0145515906403107
4470 -0.012945164592037
4535
ARGOS
-0.00041123182157962
0.00167280969109703
4.09%
0.0408999962236799
200

10%

Nivel de confianza 99%

Factor alfa 2.32634787404084
 -0.00012500220787061

Matriz de Varianzas-Covarianzas
ARGOS
BANCOLOMBIA
CELSIA

0.00034630967702

0.01860939754593

VaR porcentual diario del portafolio (Con 99% de N.de C.), con promedio. 4.34%
VaR en u.m. diario del portafolio (Con 99% de N.de C.), con promedio. 86.834
VaR porcentual diario del portafolio (Con 99% de N.de C.), sin promedio. 4.33%
VaR en u.m. diario del portafolio (Con 99% de N.de C.), sin promedio. 86.584
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
3.89% 2.06%
0.0353536451722526 0.02170092285 Matriz D ARGOS BANCOLOMBIA
300 1500 2000 Millones ARGOS 4.09% 0
BANCOLOMBIA 0 3.89%
15% 75% CELSIA 0 0

Matriz C ARGOS BANCOLOMBIA

ARGOS 1 0.256598628553
 BANCOLOMBIA 0.25659863 1
-0.000125002207870613 CELSIA 0.15540959 0.027457007814

ARGOS BANCOLOMBIA CELSIA Matriz MVC ARGOS BANCOLOMBIA

0.00167280969109703 0.000371032367544 0.00013794 ARGOS 0.00167281 0.000408135604
0.000371032367543872 0.001249880226966 2.1065E-05 BANCOLOMBIA 0.00040814 0.001512355075
0.000137936527371974 2.10652010833E-05 0.00047093 CELSIA 0.00013104 2.20131351E-05

VaR-MVC-Forma matricial

#NAME?

#NAME?

#NAME?
#NAME? Variación absoluta
#NAME? variación relativa

1xn nxn nx1

1xn nx1
1x1
 CELSIA
0
0
2.06%

CELSIA
0.15540959091
 0.02745700781
1

CELSIA
0.0001310397
2.20131351E-05
0.00042501437

Stress Testing
VC-Forma matricial Análisis de sensibilidad

Cómo cambiaría el VaR del portfolio si la volatilidad de Bancolombia aumen

Matriz D
vol 1 0 0
0 vol2 0
0 0 vol3
Matriz C
1
1
1
d

Bancolombia aumentara en un 10%?, suponiendo que las otras volatilidades no cambian

 Matriz de precios
FECHAS CELSIA CORFICOLOMBIANA SURA NUTRESA
1 1/3/2021 4740 32540 23060 23580
2 25/2/2021 4820 32600 23000 23530
3 24/2/2021 4800 32600 23290 23600
4 23/2/2021 4700 32460 22780 23700
5 22/2/2021 4686 32590 22800 23800
6 19/2/2021 4700 32590 22860 23950
7 18/2/2021 4730 32500 23150 23650
8 17/2/2021 4735 32850 23150 23750
9 16/2/2021 4750 32600 23180 23420
10 15/2/2021 4738 32660 23310 23890
11 12/2/2021 4721 32790 23300 24000
12 11/2/2021 4740 32750 23300 24380
13 10/2/2021 4754 32760 23560 24400
14 9/2/2021 4770 32400 23780 24500
15 8/2/2021 4819 32300 23490 24740
16 5/2/2021 4807 32400 23470 24650
17 4/2/2021 4708 32350 23150 24590
18 3/2/2021 4704 32390 23000 24650

19 2/2/2021 4730 32200 23040 24530

20 1/2/2021 4680 32340 22360 24560

21 29/1/2021 4800 32220 22700 24400

22 28/1/2021 4742 32450 23220 24320

23 27/1/2021 4790 32400 23800 24540

24 26/1/2021 4800 32400 24100 24970

25 25/1/2021 4795 32450 24160 25000

26 19/1/2021 4685 32250 24930 23700

27 18/1/2021 4698 31700 24700 23710

28 15/1/2021 4670 31880 24750 23700

29 14/1/2021 4780 32100 24810 23800

30 13/1/2021 4800 31770 24800 23570

31 12/1/2021 4752 32300 24590 23800

32 8/1/2021 4780 32540 24140 23440

33 7/1/2021 4820 32130 24100 23300

34 6/1/2021 4819 32600 24350 24390

35 5/1/2021 4820 32600 24200 24400

36 4/1/2021 4820 32900 24300 24000

37 30/12/2020 4898 32400 25280 24000

38 29/12/2020 4869 32290 25400 24200

39 28/12/2020 4826 31990 24810 23720

40 24/12/2020 4690 32390 24690 23600

41 23/12/2020 4690 32300 24650 23600

42 22/12/2020 4670 32420 24000 23420

43 21/12/2020 4750 31500 23850 23670

44 18/12/2020 4779 31620 24690 23710

45 17/12/2020 4690 32800 26260 24270

46 16/12/2020 4670 32800 25320 24000

47 15/12/2020 4650 32560 24800 24120

48 14/12/2020 4611 32300 24400 23940

49 11/12/2020 4610 31600 24070 23800

50 10/12/2020 4607 31000 24100 23990

51 9/12/2020 4712 31410 24430 24200

52 7/12/2020 4738 31990 23900 24210

53 4/12/2020 4680 31300 23440 24230

54 3/12/2020 4620 30820 22120 23700

55 2/12/2020 4600 30710 22180 23600

56 1/12/2020 4535 29410 21900 23320

57 30/11/2020 4500 29000 21400 23260

58 27/11/2020 4488 28700 21970 23270

59 26/11/2020 4470 28380 21700 23000

60 25/11/2020 4451 28350 21610 22840

61 24/11/2020 4437 28560 22190 22900

62 23/11/2020 4400 28200 21950 21990

63 20/11/2020 4401 27900 21740 21710

64 19/11/2020 4440 27440 21300 21600

65 18/11/2020 4410 27150 21490 21700

66 17/11/2020 4334 27120 21690 21520

67 13/11/2020 4355 27270 21730 21680

68 12/11/2020 4315 27980 21500 21500

69 11/11/2020 4381 28000 21600 22110

70 10/11/2020 4300 27500 21500 22100

71 9/11/2020 4430 26930 21590 22280

72 6/11/2020 4349 26270 20500 21680

73 5/11/2020 4335 26450 20400 21690

74 4/11/2020 4356 26400 20100 21490

75 3/11/2020 4316 25840 20400 21570

76 30/10/2020 4206 26000 20100 21340

77 29/10/2020 4402 25990 20000 22000

78 28/10/2020 4450 26000 20000 21280

79 27/10/2020 4501 26200 21180 21280

80 26/10/2020 4550 26170 21200 21470

81 23/10/2020 4609 26170 20900 21330

82 22/10/2020 4610 26170 21000 21580

83 21/10/2020 4616 25730 21000 21750

84 20/10/2020 4630 26010 20920 21860

85 19/10/2020 4600 25620 21020 22000

86 16/10/2020 4600 25990 20980 22200

 87 15/10/2020 4541 25490 20820 21880

88 14/10/2020 4640 25790 21000 22150

89 13/10/2020 4600 25880 20840 22200

90 9/10/2020 4640 25850 20800 22200

91 8/10/2020 4639 25780 20980 22220

92 7/10/2020 4630 25870 20900 22040

93 6/10/2020 4580 26310 20810 21900

94 5/10/2020 4570 26400 21000 22030

95 2/10/2020 4645 26500 20520 22000

96 1/10/2020 4560 26480 20620 21960

97 30/9/2020 4620 26600 20620 22660

98 29/9/2020 4530 26560 20700 22300

99 28/9/2020 4555 26700 21300 22260

100 25/9/2020 4430 26560 20800 22220

101 24/9/2020 4445 26360 21100 22600

102 23/9/2020 4475 26280 21160 21900

103 22/9/2020 4520 26380 21420 22240

104 21/9/2020 4660 26440 22360 22060

105 18/9/2020 4545 26100 22380 21900

106 17/9/2020 4520 26600 22500 22100

107 16/9/2020 4500 26380 22500 22320

108 15/9/2020 4480 26720 22340 22400

109 14/9/2020 4510 26900 22760 22700

110 11/9/2020 4445 27000 23200 22540

111 10/9/2020 4465 27000 23100 22800

112 9/9/2020 4520 27300 23760 22940

113 8/9/2020 4550 27200 23100 22960

114 7/9/2020 4550 27380 23200 22960

115 4/9/2020 4600 27280 22800 22960

116 3/9/2020 4640 27500 22680 23000

117 2/9/2020 4655 27600 23080 22960

118 1/9/2020 4670 27360 22560 22800

119 31/8/2020 4640 27100 21000 22000

120 28/8/2020 4630 27000 21700 21800

121 27/8/2020 4660 26500 21900 21640

122 26/8/2020 4650 27200 22000 21620

123 25/8/2020 4590 27220 22100 22000

124 24/8/2020 4485 26500 21760 20980

125 21/8/2020 4440 25680 21860 20620

126 20/8/2020 4420 25760 21260 20700

127 19/8/2020 4375 25540 21000 20580

128 18/8/2020 4380 25420 20940 20440

129 14/8/2020 4325 25420 20500 20300

130 13/8/2020 4285 25480 20100 20600

131 12/8/2020 4315 25100 19340 20680

132 11/8/2020 4275 25180 19320 20720

133 10/8/2020 4220 25040 19880 20780

134 6/8/2020 4295 25920 19740 20700

135 5/8/2020 4220 25900 19420 20300

136 4/8/2020 4205 25800 18800 20200

137 3/8/2020 4205 25560 19200 20460

138 31/7/2020 4205 24900 19400 20200

139 30/7/2020 4280 26000 19820 20500

140 29/7/2020 4280 25880 19980 20780

141 28/7/2020 4280 25840 20000 20880

142 27/7/2020 4320 26000 19920 21100

143 24/7/2020 4310 25780 20180 21160

144 23/7/2020 4385 26000 20780 21340

145 22/7/2020 4270 26200 20440 21020

146 21/7/2020 4300 26200 20460 21180

147 17/7/2020 4290 26100 20500 20940

148 16/7/2020 4235 26180 20480 21000

149 15/7/2020 4200 26200 19900 20780

150 14/7/2020 4200 25780 20400 20700

151 13/7/2020 4230 25780 19960 20940

152 10/7/2020 4185 25980 20280 21040

153 9/7/2020 4160 25960 20600 21140

154 8/7/2020 4145 26180 20700 21280

155 7/7/2020 4090 25920 20360 20880

156 6/7/2020 4095 26000 19820 20880

157 3/7/2020 4130 27880 19500 20600

158 2/7/2020 4100 27840 19100 20620

159 1/7/2020 4115 27800 18440 20820

160 30/6/2020 4115 27780 18640 20900

161 26/6/2020 4060 27660 18800 20640

162 25/6/2020 4060 27600 19100 21000

163 24/6/2020 4050 27500 19280 21160

164 23/6/2020 4050 27980 19380 21200

165 19/6/2020 4070 28500 19300 20600

166 18/6/2020 4155 27500 19240 20420

167 17/6/2020 4150 27500 19440 20240

168 16/6/2020 4190 27680 19200 21000

169 12/6/2020 4195 26700 19820 21300

170 11/6/2020 4185 26200 19600 21300

171 10/6/2020 4305 28100 20480 22400

172 9/6/2020 4235 27780 20800 22580

173 8/6/2020 4220 28000 21680 22920

174 5/6/2020 4200 27800 21300 22800

175 4/6/2020 4250 26960 20300 22660

176 3/6/2020 4330 27500 20000 22520

177 2/6/2020 4050 27000 18700 22500

178 1/6/2020 4000 26700 19120 22020

179 29/5/2020 4080 25620 18200 22160

180 28/5/2020 4120 25960 18500 22500

181 27/5/2020 4060 25000 18840 22480

182 26/5/2020 4100 24720 19100 22660

183 22/5/2020 4130 24800 19160 22100

184 21/5/2020 4040 25000 19460 22120

185 20/5/2020 4040 25000 19420 22000

186 19/5/2020 4040 24540 19500 21920

187 18/5/2020 4100 25140 19900 22080

188 15/5/2020 4040 24340 19000 22300

189 14/5/2020 4040 24540 19200 21920

190 13/5/2020 4100 25000 19040 22280

191 12/5/2020 4125 25120 19540 22800

192 11/5/2020 4170 25400 19620 22660

193 8/5/2020 4265 25800 20420 22600

194 7/5/2020 4345 25600 21000 22180

195 6/5/2020 4200 25340 20800 21860

196 5/5/2020 4175 25200 20960 21920

197 4/5/2020 4175 25220 20500 22000

198 30/4/2020 4200 25800 21520 22060

199 29/4/2020 4290 25700 22180 22860

200 28/4/2020 4310 25700 21120 23100

201 27/4/2020 4250 26000 20100 23200

202 24/4/2020 4300 25820 21360 23200

203 23/4/2020 4105 26000 21620 23960

204 22/4/2020 4200 25800 21460 22500

205 21/4/2020 4170 25760 21600 22800

206 20/4/2020 4450 26280 23300 22620

207 17/4/2020 4300 26380 24120 22900

208 16/4/2020 4290 26300 24700 22960

209 15/4/2020 4290 26300 24720 22780

210 14/4/2020 4290 26500 24500 22780

211 13/4/2020 4180 26100 24140 21300

212 8/4/2020 4180 26880 23000 20700

precios Matriz de rentabilidades
CANACOL CELSIA CORFICOLOMBIANA SURA NUTRESA
10100 -0.0167367923555239 -0.00184218658177021 0.0026053 0.00212269
9990 0.00415801014866368 0 -0.0125299 -0.0029705
10050 0.0210534091978323 0.00430372628621679 0.02214113 -0.0042283
10060 0.00298316863040909 -0.00399693076302506 -0.0008776 -0.0042105
10230 -0.002983168630409 0 -0.0026281 -0.0062827
10300 -0.0063626937878287 0.00276540351377846 -0.0126061 0.01260521
10220 -0.0010565241342 -0.0107116555949278 0 -0.0042194
10290 -0.0031628914085083 0.00763945655795763 -0.0012951 0.01399217
10350 0.00252951230995601 -0.00183879916965714 -0.0055926 -0.0198696
10200 0.00359446417244401 -0.00397250331423784 0.00042909 -0.0045939
10190 -0.0040164941428354 0.00122062877529601 0 -0.0157093
10250 -0.0029492332310171 -0.000305296903607748 -0.011097 -0.00082
10230 -0.0033599359622477 0.0110498361865849 -0.0092945 -0.00409
10260 -0.0102201327579458 0.00309119256967288 0.01227009 -0.0097482
10420 0.00249324874637208 -0.00309119256967286 0.00085179 0.00364447
10330 0.0208099995137933 0.00154440185137421 0.01372823 0.00243704
10250 0.00084997880170452 -0.00123571223632832 0.00650056 -0.002437
10230 -0.0055119919075158 0.00588328063287526 -0.0017376 0.00488004
10240 0.0106270925742862 -0.00433840159859813 0.02995819 -0.0012222
10300 -0.0253178079842899 0.00371747640013257 -0.0150913 0.00653597
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9980 0 0 -0.0008094 0.00787061
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10200 0 -0.029447201326301 0.048376 0.02857337
10520

1 2 5 4
Promedios 0.00067839372155164 0.000918713203417681 1.7216E-18 0.0006102
Varianzas 0.00020533299283082 0.000224973809968042 0.00049294 0.00023285
 Volatilidades 0.015762389454816 0.0164990396708818 0.02442242 0.01678522
4 3 1 5
CELSIA CORFICOLOMBIANA SURA NUTRESA

Inversiones 300 800 350 400

Ponderaciones 15.0% 40.0% 17.5% 20.0%

MVC CELSIA CORFICOLOMBIANA SURA NUTRESA

CELSIA 0.00020533299283082 4.28078240039413E-05 8.9254E-05 4.4583E-05
CORFICOLOMBIANA 4.2807824003941E-05 0.000224973809968042 7.7206E-05 5.4567E-05
SURA 8.9254246182205E-05 7.72059576647491E-05 0.00049294 8.4133E-05
NUTRESA 4.458290458366E-05 5.4566591484269E-05 8.4133E-05 0.00023285
CANACOL 2.7215771233364E-05 7.41565617575799E-05 5.7166E-05 9.7581E-05

Promedio 0.0005728228129089

Varianza del portafolio 0.00011434344806484 #NAME?

Volatilidad del port. 1.07% #NAME?

Nivel de confianza 0.99

Factor alfa 2.32634787404084

VaR con promedio 48.606325986 #NAME?

VaR sin promedio 49.751971612
Varición absoluta #NAME? millones
Varición relativa #NAME?
 CANACOL
0.01095083
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-0.0373071
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0.00390625
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0.00188147
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0
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0
-0.0119762 Matriz D CELSIA CORFICOLOMBIANASURA
0.00997017 CELSIA 0.01576238945 0 0
-0.002002 CORFICOLOMBIANA 0 0.01649904 0
-0.0256677 SURA 0 0 0.02442242
0.00586512 NUTRESA 0 0 0
-0.0308905 CANACOL 0 0 0

3 Matriz CELSIA CORFICOLOMBIANASURA

-0.0002462 CELSIA 1 0.19917178 0.28054564
0.000338 CORFICOLOMBIANA 0.19917177887 1 0.23184025
0.02022321 SURA 0.28054564325 0.23184025 1
2 NUTRESA 0.20389402962 0.23841104 0.24833359
CANACOL CANACOL 0.10330799297 0.26892195 0.14005001

150 2000
7.5% 1

CANACOL Matriz de vari-cov CELSIA CORFICOLOMBIANASURA

2.7216E-05 CELSIA 0.00024845292 5.1797E-05 0.000108
7.4157E-05 CORFICOLOMBIANA 5.1797467E-05 0.00027222 9.3419E-05
5.7166E-05 SURA 0.00010799764 9.3419E-05 0.00059645
9.7581E-05 NUTRESA 5.3945315E-05 6.6026E-05 0.0001018
0.000338 CANACOL 3.2931083E-05 8.9729E-05 6.9171E-05

Cómo varia el VaR si la volatilidad de sura incrementara en un 8%

NUTRESA CANACOL
0 0
0 0
0 0
0.01678522 0
0 0.02022321

NUTRESA CANACOL
0.20389403 0.10330799
0.23841104 0.26892195
0.24833359 0.14005001
1 0.34783637
0.34783637 1

NUTRESA CANACOL
5.3945E-05 3.2931E-05
6.6026E-05 8.9729E-05
0.0001018 6.9171E-05
0.00028174 0.00011807
0.00011807 0.00040898