masterThesis
Variación de los riesgos de crédito y de mercado para una empresa que emite American Depositary Receipt (ADR): estudio de caso para Bancolombia
Fecha
2017Autor
Lozada Cuervo, Gustavo Adolfo
Institución
Resumen
The objective of this paper is to calculate the credit risk variation and the market risk of Bancolombia after emitting American Depositary Receipt (ADR) -- The credit risk, seen as the inability to satisfy ones obligations (go bankrupted), was quantified based on Merton’s model (1974), which considers default (bankruptcy) as the moment when liabilities become higher than the assets and calculates the default probability associating the structure of capital in a call option -- The market risk is understood here as the loss caused by changes in the macroeconomic variables and it was quantified using company’s betas under two scenarios: first, as the stock price sensibility facing the market variability, and second, using Damodaran’s Betas (2015) and professor Hamada’s equation (1972) -- Finally, the company’s risk overview is analyzed