Measuring financial risk in non-financial firms: an application to the Colombian sugar sector
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| Format: | Artículo científico |
| Language: | en |
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Universidad del Valle
2015
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| _version_ | 1876432411898675200 |
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| author | Stephanía Mosquera-López |
| author_facet | Stephanía Mosquera-López |
| contents | Measuring financial risk in non-financial firms: an application to the Colombian sugar sector Stephanía Mosquera-López Ingeniería EVT VaR Copulas sugar market Investment projects optimal selection is relevant in making business decisions. In this paper a methodology that has not been extensively explored in the literature of measuring financial risk is applied to the Colombian sugar industry. This measurement serves as the basis for the evaluation of projects in a more robust manner, due to an adequate modeling of uncertainty. For the above, the Value at Risk of a company’s gross profit is determined using econometric techniques such as modeling the autoregressive conditional volatility of the series, multivariate modeling of the dependency relationships of the series through copulas, and simulation using Monte Carlo techniques. 2015 artículo científico 0123-3033 https://www.redalyc.org/articulo.oa?id=291340438005 en http://www.redalyc.org/revista.oa?id=2913 Ingeniería y Competitividad application/pdf Universidad del Valle Ingeniería y Competitividad (Colombia) Num.2 Vol.17 |
| format | Artículo científico |
| id | redalyc_291340438005 |
| institution | Redalyc |
| language | en |
| publishDate | 2015 |
| publisher | Universidad del Valle |
| spellingShingle | Measuring financial risk in non-financial firms: an application to the Colombian sugar sector Stephanía Mosquera-López Ingeniería EVT VaR Copulas sugar market Measuring financial risk in non-financial firms: an application to the Colombian sugar sector Stephanía Mosquera-López Ingeniería EVT VaR Copulas sugar market Investment projects optimal selection is relevant in making business decisions. In this paper a methodology that has not been extensively explored in the literature of measuring financial risk is applied to the Colombian sugar industry. This measurement serves as the basis for the evaluation of projects in a more robust manner, due to an adequate modeling of uncertainty. For the above, the Value at Risk of a company’s gross profit is determined using econometric techniques such as modeling the autoregressive conditional volatility of the series, multivariate modeling of the dependency relationships of the series through copulas, and simulation using Monte Carlo techniques. 2015 artículo científico 0123-3033 https://www.redalyc.org/articulo.oa?id=291340438005 en http://www.redalyc.org/revista.oa?id=2913 Ingeniería y Competitividad application/pdf Universidad del Valle Ingeniería y Competitividad (Colombia) Num.2 Vol.17 |
| title | Measuring financial risk in non-financial firms: an application to the Colombian sugar sector |
| topic | Ingeniería EVT VaR Copulas sugar market |
| url | https://www.redalyc.org/articulo.oa?id=291340438005 |