Análisis de inversión extranjera directa por parte del grupo de los BRIC hacia los sectores estratégicos de Colombia

El siguiente documento da a conocer el comportamiento de la Inversión Extranjera Directa (IED) de los países denominados BRIC (Brasil, Rusia, India y China) en Colombia. De acuerdo a lo anterior, en el presente trabajo, se realizó un análisis general de la IED entrante en el país suramericano que buscaba establecer los principales inversores; además de determinar los sectores más atractivos. Posteriormente, se observó la magnitud de la inversión que realizan los países BRIC en Colombia y en el mundo, con el fin de efectuar una comparación que permitiera determinar que tan significativa es la inversión que se realiza en el Estado Colombiano frente a la que es efectuada por estas naciones a nivel global. Igualmente, se consideró las industrias a las que la IED está dirigida, el grado de beneficio que representa para la población y si existe la posibilidad de enfocarla hacia otros sectores estratégicos o si se recomienda encauzarla hacia aquellos que hoy en día son el principal foco de inversión.

Calculo del valor en riesgo del futuro de energia e internacionalizacion del sector energetico en Colombia

El presente trabajo de grado busca definir cuál es el mejor método para determinar el valor en riesgo del contrato de futuro de energía eléctrica que se transa en Colombia, para cumplir con este objetivo se toma como referencia el marco histórico del VaR y de los futuros seguido de las características de la fijación de precios, la estructura del contrato, que políticas y métodos hay para cubrirse del riesgo y como se realiza en otros países, realizando algunos cálculos de los modelos más tradicionales del Var para luego incorporarlo al marco colombiano y al ente supervisor en este caso la Superintendencia Financiera de Colombia.. Además de revisar las diferentes teorías de internacionalización económicas, de proceso y redes aplicadas al sector energético en Colombia., evaluando su proceso, alcance y posibles mercados futuros.

Retos y alternativas de inversión para las compañías aseguradoras en Colombia

En este documento se explica el rol de las compañías aseguradoras colombianas dentro del sistema pensional y se busca, a través de la comprensión de la evolución del entorno macroeconómico y del marco regulatorio, identificar los retos que enfrentan. Los retos explicados en el documento son tres: el reto de la rentabilidad, el reto que plantean los cambios relativamente frecuentes de la regulación, y el reto del “calce”. El documento se enfoca principalmente en el reto de la rentabilidad y desarrolla un ejercicio de frontera eficiente que utiliza retornos esperados calculados a partir de la metodología de Damodaran (2012). Los resultados del ejercicio soportan la idea de que en efecto los retornos esperados serán menores para cualquier nivel de riesgo y sugiere que ante tal panorama, la relajación de las restricciones impuestas por el Régimen de inversiones podría alivianar los preocupaciones de las compañías aseguradoras en esta materia. Para los otros dos retos también se sugieren alternativas: el Algorithmic Trading para el caso del reto que impone los cambios en la regulación, y las Asociaciones Público-Privadas para abordar el reto del “calce”.

Credit Default Swaps (CDS) y Collateral Debt Obligation (CDO) derivados financieros responsables de la crisis sub-prime de 2008 en Estados Unidos y una guía para el desarrollo del mercado de derivados exóticos en Colombia

La crisis financiera hipotecaria de 2008 en la que se declaró en quiebra el banco de inversión Lehman Brothers, se desarrolló en un ambiente que contemplaba apalancamientos financieros excesivos y el uso de derivados financieros de crédito innovadores. Razón por la cual, a partir del estudio de caso de quiebra de este banco de inversión y el análisis de las causas y consecuencias del ambiente desregulatorio que surgió en Estados Unidos desde la década de los 30 hasta el 2000, se orienta la investigación a indagar sobre lo que sucede en términos regulatorios y empresariales en el mercado de valores colombiano y así lograr definir objetivos que permitan el crecimiento del mercado de derivados exóticos en Colombia bajo un marco de responsabilidad financiera y ética empresarial.

Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado

En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada, para posteriormente hacer un análisis comparativo frente al modelo de Markowitz.

Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Improving flood models using LiDAR: progress and problems

Airborne scanning laser altimetry (LiDAR) is an important new data source for river flood modelling. LiDAR can give dense and accurate DTMs of floodplains for use as model bathymetry. Spatial resolutions of 0.5m or less are possible, with a height accuracy of 0.15m. LiDAR gives a Digital Surface Model (DSM), so vegetation removal software (e.g. TERRASCAN) must be used to obtain a DTM. An example used to illustrate the current state of the art will be the LiDAR data provided by the EA, which has been processed by their in-house software to convert the raw data to a ground DTM and separate vegetation height map. Their method distinguishes trees from buildings on the basis of object size. EA data products include the DTM with or without buildings removed, a vegetation height map, a DTM with bridges removed, etc. Most vegetation removal software ignores short vegetation less than say 1m high. We have attempted to extend vegetation height measurement to short vegetation using local height texture. Typically most of a floodplain may be covered in such vegetation. The idea is to assign friction coefficients depending on local vegetation height, so that friction is spatially varying. This obviates the need to calibrate a global floodplain friction coefficient. It’s not clear at present if the method is useful, but it’s worth testing further. The LiDAR DTM is usually determined by looking for local minima in the raw data, then interpolating between these to form a space-filling height surface. This is a low pass filtering operation, in which objects of high spatial frequency such as buildings, river embankments and walls may be incorrectly classed as vegetation. The problem is particularly acute in urban areas. A solution may be to apply pattern recognition techniques to LiDAR height data fused with other data types such as LiDAR intensity or multispectral CASI data. We are attempting to use digital map data (Mastermap structured topography data) to help to distinguish buildings from trees, and roads from areas of short vegetation. The problems involved in doing this will be discussed. A related problem of how best to merge historic river cross-section data with a LiDAR DTM will also be considered. LiDAR data may also be used to help generate a finite element mesh. In rural area we have decomposed a floodplain mesh according to taller vegetation features such as hedges and trees, so that e.g. hedge elements can be assigned higher friction coefficients than those in adjacent fields. We are attempting to extend this approach to urban area, so that the mesh is decomposed in the vicinity of buildings, roads, etc as well as trees and hedges. A dominant points algorithm is used to identify points of high curvature on a building or road, which act as initial nodes in the meshing process. A difficulty is that the resulting mesh may contain a very large number of nodes. However, the mesh generated may be useful to allow a high resolution FE model to act as a benchmark for a more practical lower resolution model. A further problem discussed will be how best to exploit data redundancy due to the high resolution of the LiDAR compared to that of a typical flood model. Problems occur if features have dimensions smaller than the model cell size e.g. for a 5m-wide embankment within a raster grid model with 15m cell size, the maximum height of the embankment locally could be assigned to each cell covering the embankment. But how could a 5m-wide ditch be represented? Again, this redundancy has been exploited to improve wetting/drying algorithms using the sub-grid-scale LiDAR heights within finite elements at the waterline.

Evaluating canalside hedgerows to determine future interventions

This paper describes a project undertaken during 2001/2002 which developed a method for valuing hedgerows adjacent to the inland waterway network of Great Britain. The method enables the landowner, British Waterways, to manage their valuable environmental asset to achieve a good level of biodiversity and robust habitat balanced against the heavy amenity use the 3000 km canal network endures. Valuation techniques were developed using a combination of new and existing ecological indices for components of biodiversity, hedgerow structure and amenity, and synthesised into an index in an innovative combined approach. The resultant index was then applied to a sample 20 km section of hedge alongside the Grand Union Canal in Southeast England. The results obtained reflect the hedgerows' present value, and highlight factors that might improve or limit their future increase in value. The results from the case study application also demonstrate that there is a positive relationship between hedgerow structure and biodiversity, and that hedgerows in urban areas are less biodiverse and structurally sound than those in rural areas. Furthermore, there is a zone within rural areas influenced by the adjacent urban areas and/or higher amenity use. The paper concludes with an assessment of the approaches' strengths and weaknesses with a view to its compatibility with other hedgerow evaluations, such as HEGS, its use by other agencies or landowners, and to aid hedgerow management and future development. (C) 2004 Elsevier Ltd. All rights reserved.

Shoot dieback in clipped young Golden Leyland (Cupressocyparis leylandii) trees - a physiological mechanism?

Shoot dieback is a problem in frequently trimmed Leyland hedges and is increasingly affecting gardeners’ choice of hedge trees, having a negative effect on a conifer nursery industry. Some damage can be attributed to the feeding by aphids, but it is unclear if there are also underlying physiological causes. In this study, we tested the hypothesis that shoot-clipping of conifer trees during adverse growing conditions (i.e. high air temperature and low soil moisture) could be leading to shoot ‘dieback’. Three-year-old Golden Leyland Cypress (x Cupressocyparis leylandii ‘Excalibur Gold’) plants were subjected to either a well-watered or droughted irrigation regime and placed in either a ‘hot’ (average day temperature = 40°C) or a ‘cool’ (average day temperature = 27°C) glasshouse compartment. Half of the plants from each glasshouse were clipped on Day 14 and again on Day 50. Measurements of soil moisture content (SMC), net CO2 assimilation rate (A), stomatal conductance (gs), branchlet xylem water potential (XWP), plant height and foliage colour were made. Within the clipped and unclipped treatments of both glasshouse compartments, plants from the droughted regime had significantly lower values for A, gs and XWP than those from the well-watered regime. However, there was no difference in these parameters between the hot and cool glasshouse compartments. The trends seen for A, gs and XWP of all treatments generally mirrored changes in SMC indicating a direct effect of water supply on these parameters. By the end of the experiment the overall foliage colour of plants from the hot glasshouse was darker than that of plants from the cool glasshouse and the overall foliage colour was also darker following shoot clipping. In general, shoot clipping led to increases in A, gs XWP and SMC. This may be due to the reduction in total leaf area leading to a greater supply of water for the remaining leaves. No shoot ‘dieback’ was observed in any treatment in response to drought stress or shoot-clipping.

Modelling sediment supply and transport in the River Lugg: strategies for controlling sediment loads

The River Lugg has particular problems with high sediment loads that have resulted in detrimental impacts on ecology and fisheries. A new dynamic, process-based model of hydrology and sediments (INCA- SED) has been developed and applied to the River Lugg system using an extensive data set from 1995–2008. The model simulates sediment sources and sinks throughout the catchment and gives a good representation of the sediment response at 22 reaches along the River Lugg. A key question considered in using the model is the management of sediment sources so that concentrations and bed loads can be reduced in the river system. Altogether, five sediment management scenarios were selected for testing on the River Lugg, including land use change, contour tillage, hedging and buffer strips. Running the model with parameters altered to simulate these five scenarios produced some interesting results. All scenarios achieved some reduction in sediment levels, with the 40% land use change achieving the best result with a 19% reduction. The other scenarios also achieved significant reductions of between 7% and 9%. Buffer strips produce the best result at close to 9%. The results suggest that if hedge introduction, contour tillage and buffer strips were all applied, sediment reductions would total 24%, considerably improving the current sediment situation. We present a novel cost-effectiveness analysis of our results where we use percentage of land removed from production as our cost function. Given the minimal loss of land associated with contour tillage, hedges and buffer strips, we suggest that these management practices are the most cost-effective combination to reduce sediment loads.

Verification of cloud-fraction forecasts

Cloud radar and lidar can be used to evaluate the skill of numerical weather prediction models in forecasting the timing and placement of clouds, but care must be taken in choosing the appropriate metric of skill to use due to the non- Gaussian nature of cloud-fraction distributions. We compare the properties of a number of different verification measures and conclude that of existing measures the Log of Odds Ratio is the most suitable for cloud fraction. We also propose a new measure, the Symmetric Extreme Dependency Score, which has very attractive properties, being equitable (for large samples), difficult to hedge and independent of the frequency of occurrence of the quantity being verified. We then use data from five European ground-based sites and seven forecast models, processed using the ‘Cloudnet’ analysis system, to investigate the dependence of forecast skill on cloud fraction threshold (for binary skill scores), height, horizontal scale and (for the Met Office and German Weather Service models) forecast lead time. The models are found to be least skillful at predicting the timing and placement of boundary-layer clouds and most skilful at predicting mid-level clouds, although in the latter case they tend to underestimate mean cloud fraction when cloud is present. It is found that skill decreases approximately inverse-exponentially with forecast lead time, enabling a forecast ‘half-life’ to be estimated. When considering the skill of instantaneous model snapshots, we find typical values ranging between 2.5 and 4.5 days. Copyright c 2009 Royal Meteorological Society

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

Hedging private international real estate

The performance of an international real estate investment can be critically affected by currency fluctuations. While survey work suggests large international investors with multi-asset portfolios tend to hedge their overall currency exposure at portfolio level, smaller and specialist investors are more likely to hedge individual investments and face considerable specific risk. This presents particular problems in direct real estate investment due to the lengthy holding period. Prior research investigating the issue relies on ex post portfolio measure, understating the risk faced. This paper examines individual risk using a forward-looking simulation approach to model uncertain cashflow. The results suggest that a US investor can greatly reduce the downside currency risk inherent in UK real estate by using a swap structure – but at the expense of dampening upside potential.

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.