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dc.rights.licenseAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.contributor.advisorSánchez Vásquez, Alejandra
dc.contributor.advisorArunachalam, Viswanathan
dc.contributor.authorDíaz Ortigoza, Diana Carolina
dc.date.accessioned2021-05-10T17:36:00Z
dc.date.available2021-05-10T17:36:00Z
dc.date.issued2020
dc.identifier.urihttps://repositorio.unal.edu.co/handle/unal/79491
dc.description.abstractEntre las herramientas matemáticas y estadísticas para modelar problemas o fenómenos financieros, son pocas aquellas que permiten modelar escenarios de contagio y agrupamiento de sucesos, es decir, aquellas situaciones en las que encontramos que hay ocurrencia de sucesos de manera que, si las organizamos en el tiempo, se evidencian agrupamientos. En este trabajo en particular, abordaremos un método basado en procesos estocásticos para modelar situaciones de agrupamiento, el cual generaliza los procesos de Hawkes y los procesos doblemente estocásticos con intensidad de shot noise, conocido como el proceso de contagio dinámico [Dassios and Zhao, 2011]. Este proceso considera factores endógenos y exógenos que pueden potencialmente tener un impacto en el sistema que se está estudiando y los cuales son llamados los saltos auto-excitados y externamente excitados respectivamente. Usando este proceso se modelará la crisis bancaria colombiana de 1998 y se evaluará la pertinencia de esta herramienta en este tipo de situaciones de crisis económica y financiera. Finalmente, una medida distinta de riesgo financiero es introducida a partir de estos modelos.
dc.description.abstractAmong the mathematical and statistical tools for modeling financial problems, few are those that allow modeling contagion scenarios and event clustering, that is to say, when events happen and we organize them chronologically we can see groups of events in certain periods of time. In this work, we will address in particular a method based on stochastic processes that models clustering situations and generalizes the Hawkes processes and the doubly stochastic processes with shot noise intensity, known as the dynamic contagion process [Dassios and Zhao, 2011]. This process takes into consideration endogenous and exogenous factors that potentially could have an impact in the underlying system and which are called self-excited and externally excited jumps respectively. By using this process, we will model the Colombian banking crisis of 1998 and we will evaluate the relevance of this tool in this kind of economic and financial crisis situations. Finally, a different financial risk measure is introduced on the basis of these models.
dc.format.extent1 recurso en línea (80 páginas)
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherUniversidad Nacional de Colombia
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.ddc510 - Matemáticas::519 - Probabilidades y matemáticas aplicadas
dc.subject.otherProceso estocástico
dc.subject.otherStochastic process
dc.subject.otherCrédito Hipotecario
dc.subject.otherMortgage credit
dc.subject.otherAnálisis de clúster
dc.subject.otherClusters analysis
dc.titleContagion modeling in credit risk
dc.typeTrabajo de grado - Maestría
dc.type.driverinfo:eu-repo/semantics/masterThesis
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.publisher.programBogotá - Ciencias - Maestría en Ciencias - Estadística
dc.description.degreelevelMaestría
dc.identifier.instnameUniversidad Nacional de Colombia
dc.identifier.reponameRepositorio Institucional Universidad Nacional de Colombia
dc.identifier.repourlhttps://repositorio.unal.edu.co/
dc.publisher.departmentDepartamento de Estadística
dc.publisher.facultyFacultad de Ciencias
dc.publisher.placeBogotá
dc.publisher.branchUniversidad Nacional de Colombia - Sede Bogotá
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dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.subject.proposalDynamic contagion process
dc.subject.proposalHawkes process
dc.subject.proposalDoubly stochastic process
dc.subject.proposalCluster point process
dc.subject.proposalColombian mortgage crisis
dc.subject.proposalProceso de contagio dinámico
dc.subject.proposalProceso de Hawkes
dc.subject.proposalProceso doblemente estocástico
dc.subject.proposalProceso puntual de Cluster
dc.subject.proposalCrisis hipotecaria Colombia
dc.title.translatedModelamiento de contagio en riesgo de crédito
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dc.type.coarversionhttp://purl.org/coar/version/c_ab4af688f83e57aa
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dc.type.redcolhttp://purl.org/redcol/resource_type/TM
oaire.accessrightshttp://purl.org/coar/access_right/c_abf2


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Atribución-NoComercial-SinDerivadas 4.0 InternacionalThis work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit