Publicaciones

Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

“Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates”, Arturo Cifuentes and Bernardo Pagnoncelli. Forthcoming, Journal of Derivatives. Winter 2014.
Credit risk derivatives and securitization techniques are difficult topics to teach.  Most students have preconceived ideas about them.  Some of them are quite [...]

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Valuation of Projects with Stochastic Cash Flows and Intertemporal Correlations: Practical Modeling Guidelines

“Valuation of Projects with Stochastic Cash Flows and Intertemporal Correlations: Practical Modeling Guidelines”, Francisco Hawas  and Arturo Cifuentes.  Journal of Construction Engineering and Management. Volume 140, Issue 6 (June 2014)
This paper explores the influence of cash-flow correlations on the behavior of the net present [...]

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Credit risk assessment of fixed income portfolios using explicit expressions

“Credit risk assessment of fixed income portfolios using explicit expressions”, Bernardo K. Pagnoncelli   and  Arturo Cifuentes.  Forthcoming, Finance Research Letters.
We propose a model to assess the credit risk features of fixed income portfolios assuming they can be characterized by two parameters: their default probability and [...]

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An Investor-Oriented Metric for the Art Market

“An Investor-Oriented Metric for the Art Market”, Ventura Charlin and Arturo Cifuentes. The Journal of Alternative Investments. Summer 2014, Vol. 17, No. 1: pp. 87-101
This article introduces a new financial metric for the art market. The metric, which the authors call artistic power [...]

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VALUATION PROJECTS

Valuation of Projects with Minimum Revenue Guarantees: A Gaussian Copula-Based Simulation Approach

This article presents a numerical simulation technique to perform valuations of infrastructure projects with minimum revenue guarantees (MRG).  It is assumed that the project cash flows–in the absence of the MRG–can be described in a probabilistic fashion by means of a very general multivariate distribution function [...]

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Páginas desdeFEN-Talk-August-2014-1

Presentación “On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios”

“On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios”. Presentación realizada para la Facultad de Economía y Negocios de la Universidad de Chile, el día 6 de agosto de 2014.

Presentador: Arturo Cifuentes

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REDES BANCARIAS

Redes Bancarias y Riesgo Sistémico: Desarrollo de un Algoritmo de Análisis y Diagnóstico

En este trabajo se construye un modelo que permite analizar un sistema bancario mediante un enfoque de teoría de redes. El modelo constituye una herramienta práctica que permite identificar las vulnerabilidades del sistema y evaluar los costos-beneficios de la potencial respuesta mitigadora de un regulador [...]

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demystifying

Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

Credit risk derivatives and securitization techniques are difficult topics to teach.  Most students have preconceived ideas about them.  Some of them are quite wrong.  And frequently many students feel that there is almost something like “black magic” behind the concept that one can create Aaa-securities out of [...]

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ON THE ACTUAL BEHAVIOR

On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios

We apply an analytical approach to analyze two credit-derivative investments: (i) a synthetic index linked to high-yield corporates; and (ii) an actual transaction based on mortgage bonds. We show that the conventional approach to analyze these structures (Monte Carlo simulations combined with the Gaussian copula) fails [...]

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Páginas desdeFEN-DCF-July-2014

Presentación “Discounted Cash Flow (DCF) Analysis: What’s Wrong With It And How To Fix It”

“Discounted Cash Flow (DCF) Analysis:  What’s Wrong With It And How To Fix It” . Presentación realizada para la Facultad de Economía y Negocios de la Universidad de Chile, el día 2 de julio de 2014.

Presentador: Arturo Cifuentes

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