Artículos de revistas
URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4067
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Ítem Acceso Abierto Emerging markets portfolio creating a Latin American portfolio peruvian case study(David Publisher, 2012) Lizarzaburu, Edmundo. R.; Quispe Salguero, Julio; Berrocal, RenzoThe case study seeks to identify the most important issues encountered in developing a new portfolio in a Latin America country, exploring several alternatives which include not only stock and sovereign bonds but also more sophisticate products such as American Depositary Receipt (ADR) or Exchange Traded Fund (ETF) from emerging countries, and determine what are the risks involved in the process following not only Basil III standards, but also the local best practice recommend by the local regulators. The study at the beginning used historical information (normal distribution formulas) of several equities and bonds (n = 142) and then selected five Peruvian instruments (one of this involved at least 25 equities, N = 5, n = 30) and then other 30 (one of this include an ETF, N = 30, n = 55) in order to determine the best return and risk combination for an emerging market portfolio. Besides, the additional objective is to examine and introduce the reader in some statistics formulas used in finance and risk management. Senior management must evaluate the issues associated with the new portfolio and strategy developed.Ítem Acceso Abierto Credit information in emerging markets: the rating agencies and credit risk reports, Peruvian experience(Canadian Center of Science and Education (CCSE), 2012-11-21) Cisneros, Diego; Lizarzaburu, Edmundo R.; Quispe Salguero, JulioThis paper seeks to develop a literature review within the main aspects of credit information in emerging markets, important aspect considering that several companies, including the small enterprises, are looking forward to “go” to capital markets. Thus, we will analyze the role of rating agencies and credit bureaus (credit risk report) in the Peruvian market, considering the current state of economic growth that comes through and, the potential of capital market that comes with MILA (Integrated Latin American Market). Besides, this information will become relevant in the following months, because the actual financial crisis in several countries all over the world (focus in Europe, but it could move to some BRICS – Brazil, Russia, India, China and South Africa – or Latam Countries) has generated a new map in “rating scores” (Note 1) so the questions that we tried to answer is if this unique change is relevant? Or it should be complemented in order to have a significant impact in the market and for the investors.Ítem Acceso Abierto Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018(Universidad del Rosario, 2021-02-03) Lizarzaburu, Edmundo R.; Burneo, Kurt; Berggrun, LuisThis research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In this sense, daily data was collected from the S&P/BVL Peru Select index and the Peruvian 10-year Sovereign Bond between 2008-2018, approximated quarterly by the geometric average to homogenize them with the frequency of the Z. Thus, two central results were obtained: 1) The Z-Score, as an estimator of insolvency risk, is not valid to explain the behavior of the historical return of the shares, and 2) The Market Premium is statistically significant within the yield analysis. Also, contrary to the common literature, the results suggest the validity of Sharpe's conventional CAPM.
