2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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2023 - 20242

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Autor: search.filters.author.Grajales, Carlos AlexanderFecha de inicio: 2022

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Mostrando 1 - 2 de 2
  • Miniatura
    ÍtemSolo Metadatos
    ESG and financial performance via uncertain mining technology: do Multilatinas contribute to the sustainability of the region?
    (Universidad ESAN. ESAN Ediciones, 2024-10-28) Grajales, Carlos Alexander; Albanes Uribe, Katherine
    Purpose: This paper proposes a methodology based on an uncertain mining technology that identifies the linguistic relationships of ESG and its components with a financial performance metric to help the sustainability diagnosis of a region, specifically Latin America. Design/methodology/approach: First, based on a relevant dataset of companies in a region, a procedure is formulated whereby an uncertain mining technology extracts the mathematically significant linguistic relationships of ESG and its components with a financial performance metric. Second, a knowledge management process is designed based on the linguistic summaries obtained from the mining process. As a final step and drawing upon the two preceding processes, a diagrammatic system of signals is proposed for diagnosing the sustainability of the region as contributed by its companies. Findings: After this methodology is instantiated on a group of Multilatinas, it is observed that their sustainability contributions to the region are limited and that none of the identified linguistic relationships between ESG and the financial performance metric are favorable for the region. Originality/value: This is the first proposal of its kind and it can be applied to any region of the world to assess the financial performance of its companies regarding their ESG commitments. In addition, it enables the region to comprehensively monitor compliance with the 2030 SDG agenda.
  • Miniatura
    ÍtemSolo Metadatos
    Sensitivities-based method and expected shortfall for market risk under FRTB: its impact on options risk capital
    (Universidad ESAN. ESAN Ediciones, 2023-06-30) Grajales, Carlos Alexander; Medina Hurtado, Santiago
    Purpose: This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach. This paper first suggests an algorithm for implementing the FRTB standardised approach via the sensitivities-based method to estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a methodology to estimate the expected shortfall in options portfolios from the FRTB internal models approach. In this regard, an application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in a currency option position by considering stress scenarios from the 2007–9 and 2020–1 crises and back-testing procedures. Findings: The suggested algorithm satisfactorily captures impacts via the sensitivities-based method, and higher risk capital demands are expected for emerging economies. Also, the planned FRTB methodology to measure ES and VaR is appropriate; in particular, historical metrics perform well. Astonishingly, their revealed impacts are more significant under the 2020–1 pandemic crisis than the 2007–9 financial crisis. Originality/value: The proposals developed weave a communication bridge between the standardised and internal approaches of FRTB regulation, which can be scaled up technologically and institutionally.