En el marco de los procesos de innovación y evolución de las organizaciones, surgen necesidades d... more En el marco de los procesos de innovación y evolución de las organizaciones, surgen necesidades de adaptación al medio ambiente que conllevan a pensar en los conceptos que sustentan las decisiones de gestión. Adicionalmente, si se incorporan las nociones de contextos complejos, la teoría no predice perfectamente el comportamiento de los agentes al interior de una organización. El presente trabajo analiza las nociones de gobernanza y responsabilidad social empresaria, las cuales se articulan en el nuevo concepto europeo de innovación responsable. En particular interesa estudiar esta problemática en el sector bancario. Surge así la definición de procesos de innovación financiera responsable. Una de las propuestas responsables para que los bancos gestionen innovaciones es la creación de un Comité de Nuevos Productos al interior de la organización. Esto permite que los procesos innovadores en el banco sean responsables y sean desarrollados para y con la sociedad.
En el presente trabajo nos proponemos abordar la temática de modelos de economía monetaria que pu... more En el presente trabajo nos proponemos abordar la temática de modelos de economía monetaria que pueden ser utilizados como material didáctico para cursos de grado de matemática superior. Puntualmente, este trabajo se basa en un paper de Robert Barro y David Gordon de 1983, donde se modeliza el comportamiento de una economía cerrada, con sector público consolidado, y un sector privado no financiero, que toma decisiones de cartera teniendo en cuenta las expectativas inflacionarias. El modelo se puede resumir a un conjunto de ecuaciones en diferencias, y la solución del mismo nos orientará acerca del rol de una autoridad monetaria intervencionista, y cómo las expectativas del sector privado sobre la tasa de inflación futura, juegan en contra de la decisión de esa autoridad (siempre y cuando las expectativas se formen racionalmente). Este trabajo considerará dos versiones del modelo: una con expectativas racionales (que es como lo utilizan Barro y Gordon), y uno con expectativas adaptativas.
Organizations adapt to the environment using new management tools as part of the evolution proces... more Organizations adapt to the environment using new management tools as part of the evolution process. Additionally, if complexity is incorporated, the theory helps to understand behaviour of agents within an organization. This paper analyses the notions of governance and corporate social responsibility, which are articulated in the new European concept of responsible innovation. This work is particularly interested in studying this problem in the banking sector, raising the notion of responsible financial innovation. One of the proposals in this new framework is called New Products Committee. This structure ensures that the innovative processes in the bank is responsible and are developed for and with society.
Financial market and, particularly, banking, is an organizational environment where their product... more Financial market and, particularly, banking, is an organizational environment where their productive activities impact on the real economy. Crises, as anomalies of these interactions (Caruana, 2008) show the continuous tension experienced by theory and practice of risk management. This work exposes the different methodologies, which appear in traditional literature (VaR, EVT and CVaR), for risk management measurement in banking organizations, where context is uncertain. After the theoretical framework developed, these measures will be tested empirically, using soybeans international price public data. In this way, it will be possible to highlight the importance of experts opinion in order to achieve a correct risk management.El mercado financiero en general y el bancario, en particular, es un ámbito organizacional donde se desarrollan actividades productivas que impactan en la economía real. Las crisis, como anomalías de estas interacciones (Caruana, 2008), muestran la continua tens...
En el marco de los procesos de innovacion y evolucion de las organizaciones, surgen necesidades d... more En el marco de los procesos de innovacion y evolucion de las organizaciones, surgen necesidades de adaptacion al medio ambiente que conllevan a pensar en los conceptos que sustentan las decisiones de gestion. Adicionalmente, si se incorporan las nociones de contextos complejos, la teoria no predice perfectamente el comportamiento de los agentes al interior de una organizacion. El presente trabajo analiza las nociones de gobernanza y responsabilidad social empresaria, las cuales se articulan en el nuevo concepto europeo de innovacion responsable. En particular interesa estudiar esta problematica en el sector bancario. Surge asi la definicion de procesos de innovacion financiera responsable. Una de las propuestas responsables para que los bancos gestionen innovaciones es la creacion de un Comite de Nuevos Productos al interior de la organizacion. Esto permite que los procesos innovadores en el banco sean responsables y sean desarrollados para y con la sociedad.
Lecture Notes in Business Information Processing, 2016
From an economic perspective, interest rates constitute key tools for decision making in the fina... more From an economic perspective, interest rates constitute key tools for decision making in the financial sector as they have micro and macro impacts, making its risk management a crucial matter. The LIBOR Market Model (LMM) uses the yield curve of the British interbank rate LIBOR (forward) as its basic input. Unlike models that use instantaneous rates, those involved in the LMM are observable in the market. Furthermore, the model is consistent with and adjusts its parameters according to the option valuation on futures formula in the Black '76 fashion. This allows for efficient calibration and can be used to value various derivative financial instruments. While there are several approaches for calibration, this work uses the separated approach with optimization. It is implemented using a routine in MATLAB with data of european swaptions. This work concludes that the proposed algorithm is computationally efficient and the fit is satisfactory.
The term "macroprudential" is usually used in different ways. Sometimes it refers to macroprudent... more The term "macroprudential" is usually used in different ways. Sometimes it refers to macroprudential analysis, others to macro-prudential oversight and it also speaks of macroprudential regulation. In this paper, taking into account these concepts, an analysis of what is meant by macroprudential authority, how should it be implemented and should have powers to ensure the stability of the entire financial system is going to be done. Referring to the local economy, the Charter Reform of the Central Bank of Argentina has entered into force. In regard to financial regulation, within the reform, and unlike it was in force since 1992, it aims to not only to monitor, but to implement regulations on the local financial system to avoid the frequent abuses by various entities. To perform the analysis of the implementation of a macroprudential authority in Argentina, it is going to be considered the evolution of a particular sector of the real economy, namely tourism. Finally, a measure of this economic sector, that should to detect potential problems in the financial system, is proposed.
The traditional methods for the valuation of investments are based on the possibility of calculat... more The traditional methods for the valuation of investments are based on the possibility of calculating discount cash flows. The present paper analyses the problem associated to investments on innovative products, which require an important demand of R&D. The mentioned investments present irreversibility, flexibility and uncertainty characteristics. Therefore, it is proposed the Real Options methodology. To carry it out, investigations processes
International Journal of Business Continuity and Risk Management, 2018
The present work proposes to incorporate expert's opinions into the traditional calculation of fi... more The present work proposes to incorporate expert's opinions into the traditional calculation of financial risk management models. These traditional quantitative models ignore qualitative knowledge available (subjective and mathematically imprecise). To do this, this paper articulates value-at-risk (VaR) practioner's perspective with experts' opinion. This work focuses on the techniques associated with the mathematical approach as opposed to the behavioural one and within this approach, contrasting those axiomatic with the Bayesian. The authors argue that expert's judgement is relevant to market risk management. In particular, financial risks are especially sensitive to decision makers' opinions. Three strategies are proposed. Firstly, Bayesian techniques, secondly, fuzzy logic with VaR approximation through triangular fuzzy numbers (TFN) and thirdly, expert discussion through Delphi dynamics are considered.
En el marco de los procesos de innovación y evolución de las organizaciones, surgen necesidades d... more En el marco de los procesos de innovación y evolución de las organizaciones, surgen necesidades de adaptación al medio ambiente que conllevan a pensar en los conceptos que sustentan las decisiones de gestión. Adicionalmente, si se incorporan las nociones de contextos complejos, la teoría no predice perfectamente el comportamiento de los agentes al interior de una organización. El presente trabajo analiza las nociones de gobernanza y responsabilidad social empresaria, las cuales se articulan en el nuevo concepto europeo de innovación responsable. En particular interesa estudiar esta problemática en el sector bancario. Surge así la definición de procesos de innovación financiera responsable. Una de las propuestas responsables para que los bancos gestionen innovaciones es la creación de un Comité de Nuevos Productos al interior de la organización. Esto permite que los procesos innovadores en el banco sean responsables y sean desarrollados para y con la sociedad.
En el presente trabajo nos proponemos abordar la temática de modelos de economía monetaria que pu... more En el presente trabajo nos proponemos abordar la temática de modelos de economía monetaria que pueden ser utilizados como material didáctico para cursos de grado de matemática superior. Puntualmente, este trabajo se basa en un paper de Robert Barro y David Gordon de 1983, donde se modeliza el comportamiento de una economía cerrada, con sector público consolidado, y un sector privado no financiero, que toma decisiones de cartera teniendo en cuenta las expectativas inflacionarias. El modelo se puede resumir a un conjunto de ecuaciones en diferencias, y la solución del mismo nos orientará acerca del rol de una autoridad monetaria intervencionista, y cómo las expectativas del sector privado sobre la tasa de inflación futura, juegan en contra de la decisión de esa autoridad (siempre y cuando las expectativas se formen racionalmente). Este trabajo considerará dos versiones del modelo: una con expectativas racionales (que es como lo utilizan Barro y Gordon), y uno con expectativas adaptativas.
Organizations adapt to the environment using new management tools as part of the evolution proces... more Organizations adapt to the environment using new management tools as part of the evolution process. Additionally, if complexity is incorporated, the theory helps to understand behaviour of agents within an organization. This paper analyses the notions of governance and corporate social responsibility, which are articulated in the new European concept of responsible innovation. This work is particularly interested in studying this problem in the banking sector, raising the notion of responsible financial innovation. One of the proposals in this new framework is called New Products Committee. This structure ensures that the innovative processes in the bank is responsible and are developed for and with society.
Financial market and, particularly, banking, is an organizational environment where their product... more Financial market and, particularly, banking, is an organizational environment where their productive activities impact on the real economy. Crises, as anomalies of these interactions (Caruana, 2008) show the continuous tension experienced by theory and practice of risk management. This work exposes the different methodologies, which appear in traditional literature (VaR, EVT and CVaR), for risk management measurement in banking organizations, where context is uncertain. After the theoretical framework developed, these measures will be tested empirically, using soybeans international price public data. In this way, it will be possible to highlight the importance of experts opinion in order to achieve a correct risk management.El mercado financiero en general y el bancario, en particular, es un ámbito organizacional donde se desarrollan actividades productivas que impactan en la economía real. Las crisis, como anomalías de estas interacciones (Caruana, 2008), muestran la continua tens...
En el marco de los procesos de innovacion y evolucion de las organizaciones, surgen necesidades d... more En el marco de los procesos de innovacion y evolucion de las organizaciones, surgen necesidades de adaptacion al medio ambiente que conllevan a pensar en los conceptos que sustentan las decisiones de gestion. Adicionalmente, si se incorporan las nociones de contextos complejos, la teoria no predice perfectamente el comportamiento de los agentes al interior de una organizacion. El presente trabajo analiza las nociones de gobernanza y responsabilidad social empresaria, las cuales se articulan en el nuevo concepto europeo de innovacion responsable. En particular interesa estudiar esta problematica en el sector bancario. Surge asi la definicion de procesos de innovacion financiera responsable. Una de las propuestas responsables para que los bancos gestionen innovaciones es la creacion de un Comite de Nuevos Productos al interior de la organizacion. Esto permite que los procesos innovadores en el banco sean responsables y sean desarrollados para y con la sociedad.
Lecture Notes in Business Information Processing, 2016
From an economic perspective, interest rates constitute key tools for decision making in the fina... more From an economic perspective, interest rates constitute key tools for decision making in the financial sector as they have micro and macro impacts, making its risk management a crucial matter. The LIBOR Market Model (LMM) uses the yield curve of the British interbank rate LIBOR (forward) as its basic input. Unlike models that use instantaneous rates, those involved in the LMM are observable in the market. Furthermore, the model is consistent with and adjusts its parameters according to the option valuation on futures formula in the Black '76 fashion. This allows for efficient calibration and can be used to value various derivative financial instruments. While there are several approaches for calibration, this work uses the separated approach with optimization. It is implemented using a routine in MATLAB with data of european swaptions. This work concludes that the proposed algorithm is computationally efficient and the fit is satisfactory.
The term "macroprudential" is usually used in different ways. Sometimes it refers to macroprudent... more The term "macroprudential" is usually used in different ways. Sometimes it refers to macroprudential analysis, others to macro-prudential oversight and it also speaks of macroprudential regulation. In this paper, taking into account these concepts, an analysis of what is meant by macroprudential authority, how should it be implemented and should have powers to ensure the stability of the entire financial system is going to be done. Referring to the local economy, the Charter Reform of the Central Bank of Argentina has entered into force. In regard to financial regulation, within the reform, and unlike it was in force since 1992, it aims to not only to monitor, but to implement regulations on the local financial system to avoid the frequent abuses by various entities. To perform the analysis of the implementation of a macroprudential authority in Argentina, it is going to be considered the evolution of a particular sector of the real economy, namely tourism. Finally, a measure of this economic sector, that should to detect potential problems in the financial system, is proposed.
The traditional methods for the valuation of investments are based on the possibility of calculat... more The traditional methods for the valuation of investments are based on the possibility of calculating discount cash flows. The present paper analyses the problem associated to investments on innovative products, which require an important demand of R&D. The mentioned investments present irreversibility, flexibility and uncertainty characteristics. Therefore, it is proposed the Real Options methodology. To carry it out, investigations processes
International Journal of Business Continuity and Risk Management, 2018
The present work proposes to incorporate expert's opinions into the traditional calculation of fi... more The present work proposes to incorporate expert's opinions into the traditional calculation of financial risk management models. These traditional quantitative models ignore qualitative knowledge available (subjective and mathematically imprecise). To do this, this paper articulates value-at-risk (VaR) practioner's perspective with experts' opinion. This work focuses on the techniques associated with the mathematical approach as opposed to the behavioural one and within this approach, contrasting those axiomatic with the Bayesian. The authors argue that expert's judgement is relevant to market risk management. In particular, financial risks are especially sensitive to decision makers' opinions. Three strategies are proposed. Firstly, Bayesian techniques, secondly, fuzzy logic with VaR approximation through triangular fuzzy numbers (TFN) and thirdly, expert discussion through Delphi dynamics are considered.
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