Clase 1 Chapter 1

Licenciado en Negocios
Internacionales
7mo. Semestre
 Administración de Riesgos
UNIVERSIDAD AUTÓNOMA DE NUEVO LEÓN º DIRECCIÓN DE EDUCACIÓN DIGITAL º FACULTAD DE CONTADURÍA PÚBLICA Y ADMINISTRACIÓN
M.N.I. Carlos A. Mayorga Torres
Presentación
Résumé
IN PROFESSIONAL AREA:
20 Years Of Experience In The Commercial Area Mostly In The Sales
Department
I´ve Held Positions As A Sales Manager in steel industry
I am currently doing a project to open a consultancy, where we will
support companies in matters of Marketing, Management and their
organizational structure.
Main Competences:
Management, Negotiation, Sales, Strategic Planning, Marketing,
Organizational Development, Business Plan, Human Resources And
Financial Planning.
Résumé
IN ACADEMIC AREA:
MANAGEMENT DEGREE
MASTER IN INTERNATIONAL BUSINESS
AS A TEACHER, I HAVE TAUGHT THE FOLLOWING SUBJECTS…

LNI: Management Process, Marketing, Foundations of marketing,
Managerial accounting, Purchasing, Supply Chain Management,
Organizational Development, Knowledge management, Sales, and now, Risk
Management.
LA: Administración de PyMEs, RSE, Dirección y Toma de Decisiones,
Elementos del Costo, Arte y Cultura Universal, Cultura de Paz, Metodología
de la Investigación, Desarrollo y Comportamiento Organizacional.
“FOUR-LEAF CLOVER
OF MANAGEMENT”
M. N. I. Carlos Alberto Mayorga Torres

There are 3 main management themes that have 4 elements each.
That is why I call:
FOUR-LEAF CLOVER OF MANAGEMENT
FUNCTIONAL
DEFINITION OF MANAGEMENT
AREAS OF
MANAGEMENT PROCESS
MANAGEMENT
MANAGEMENT
DEFINITION
ACHIEVE COORDINATION
GOALS OF EFFORTS
Process by which a social group seeks
to reach the achievement of its
objectives, through a coordinated
effort optimizing available resources
SOCIAL RESOURCE
GROUP OPTIMIZATION
PETER DRUCKER
"Management is a multipurpose
organ that manage a business
and manages managers and
manages workers and work."
HENRY FAYOL HAROLD KOONTZ
"Management is to forecast, to "Management is the art of
plan, to organize, to command, getting things done through
to coordinate and control others and with formally
activities of others" organised groups."
F. W. TAYLOR
M. P. FOLLETT
"Management is the art of
"Management is the art of
knowing what you want to do
getting things done through and then seeing that they do it
people." GEORGE R. TERRY
in the best and the cheapest
"Management is a distinct process manner."
consisting of planning, organising,
actuating and controlling; utilising in
each both science and arts, and
followed in order to accomplish pre-
determined objective."
MARY CUSHING NILE
Good management, or scientific
management, achieves a social
objective with the best use of
human and material energy and HAROLD KOONTZ & WEIHRICH
JOSEPH MASSIE
time, and with satisfaction for the "Management is the process of
"Management is defined as the participants and the public. designing and maintaining an
process by which a cooperative environment in which individuals
group directs action towards working together in groups,
common goals. efficiently accomplish seleted
aims."
Achieve goals
Social Coordination of
group
MANAGEMENT efforts
Resource Optimization
PLANNING ORGANIZATION
MANAGEMENT
PROCESS
CONTROL DIRECTION
HENRY FAYOL AND THE FUNCTIONS OF MANAGEMENT
Henry Fayol was the first to systematize management behavior - he was the first to
identify the major functions of management : planning, organizing, leading,
controlling, as well as coordinating.
PLANNING LEADING
ORGANIZING CONTROLLING
You set goals and decide how
to achieve them
You motivate, direct &otherwise

infl uence poeple to work hard to
achieve the organization's goals
You arrange tasks, people &

other resources to
accomplish the work
You monitor permormance,

compare it with goals and take
corrective action as needed
ADMINISTRATIVE PROCESS
Mechanic Phase Dynamic
Phase
DIRECTION
PLANNING
WHAT TO DO Mechanic Phase MAKE IT HAPPEN
Dynamic
Phase
Philosophy Mission ORGANIZATION Leadership
CONTROL
Programs Vision WHO & HOW Training DONE
Procedures Value Coaching Evaluation
Organizational Charts Financial Statements
Policies Forecasts Empowerment
Organizational design Quality Management
Methods Budgeting Supervise
Manuals Information systems
Strategies Goals To coordinate
Procedures Results measurement
Objectives Rules Check
Job description Performance standards
Generate Knowledge
Manage Change Precautionary measures
Corrective measures
MARKETING H.R.
FEASIBILITY FEASIBILIT
Y
PRODUCTION FINANCE
FEASIBILITY VIABILITY
MARKETING PRODUCTION
FUNCTIONAL
AREAS OF
MANAGEMENT
HUMAN
FINANCE
RESOURCES
Management
Levels and
Functional Areas
MANAGEMENT FUNCTIONAL AREAS
MARKETING HUMAN
RESOURCES
• Market study PRODUCTION FINANCE
• Segmentation • Recruitment
• Target Market • Supply Chain • Staff pick • Financial
• Marketing Mix Management • Knowledge Statements
• E - Commerce • Resource Management • Income
• etc. Planning • etc. Statements
• Forecast • Financial
demand reasons
• Inventory • BEP
control • NPV
• etc.
MARKETING MIX
Breakeven point
Total cost= Total revenue
MANAGEMENT
ACHIEVE COORDINATION
GOALS OF EFFORTS
ADMINISTRATIVE FUNCTIONAL AREAS OF

PROCESS MANAGEMENT
RESOURCE SOCIAL
OPTIMIZATION GROUP
PLANNING ORGANIZATION MARKETING PRODUCTION
CONTROL DIRECTION HUMAN

FINANCE
RESOURCES
RISK MANAGEMENT
A HELICOPTER VIEW
M.N.I. CARLOS ALBERTO MAYORGA TORRES
WHAT IS A RISK?
We’re all faced with risk in our everyday lives. And although risk is an abstract term,
our natural human understanding of the trade-offs between risk and reward
is pretty sophisticated.
For example, in our personal lives, we intuitively understand the difference
between a cost that’s already been budgeted for (in risk parlance, a predictable
or expected loss) and an unexpected cost (at its worst, a catastrophic loss of a
magnitude well beyond losses seen in the course of normal daily life).
In particular, we understand that risk is not synonymous with the size of a cost or of
a loss. After all, some of the costs we expect in daily life are very large indeed if we
think in terms of our annual budgets: food, fixed mortgage payments, college fees,
and so on. These costs are big, but they are not a threat to our ambitions
because they are reasonably predictable and are already allowed for in our
plans.
https://www.youtube.com/watch?v=-E-jfcoR2W0
The real risk is that these costs will suddenly rise in an
entirely unexpected way, or that some other cost will
appear from nowhere and steal the money we’ve set aside
for our expected outlays.
The risk lies in how variable our costs and revenues really
are. In particular, we care about how likely it is that we’ll
encounter a loss big enough to upset our plans (one that
we have not defused through some piece of personal risk
management such as taking out a fixed-rate mortgage,
setting aside savings for a rainy day, and so on).
This day-to-day analogy makes it easier to understand the
difference between the risk management concepts of
expected loss (or expected costs) and unexpected loss (or
unexpected cost).
The main difference betweeen our intuitive conception of risk and a
more formal treatment of it is the use of statistics to define the extent
and potential cost of any exposure. To develop a number for
unexpected loss, a bank risk manager first identifies the risk factors that
seem to drive volatility in any outcome (Box 1-1) and then uses
statistical analysis to calculate the probabilities of various outcomes for
the position or portfolio under consideration. This probability distribution
can be used in various ways; for example, the risk manager might
pinpoint the area of the distribution (i.e., the extent of loss) that the
institution would find worrying, given the probability of this loss
occurring (e.g., is it a 1 in 10 or a 1 in 10,000 chance?).
The formality of this language and the use of statistical concepts can make risk
management sound pretty technical. But the risk manager is simply doing what
we all do when we ask ourselves in our personal lives, “How bad, within reason,
might this problem get?”
https://youtu.be/BLAEuVSAlVM
1. What am I trying to get?
2. What could affect me?
3. Which of these things that could affect me
is the most important?
4. What will I do about it?

5. Did the implemented work?
6. What changed?
FUTURE
The future cannot be predicted. It is uncertain,
and no one has ever been successful in
forecasting the stock market, interest rates, or
exchange rates consistently—or credit,
operational, and systemic events with major
financial implications.
Yet, the financial risk that arises from uncertainty can be managed.
Indeed, much of what distinguishes

modern economies from those of the past
is the new ability to identify risk, to
measure it, to appreciate its
consequences, and then to take action
accordingly, such as transferring or
mitigating the risk.
This simple sequence of activities, shown in more detail in
Figure 1-1, is often used to define risk management as a formal
discipline. But it’s a sequence that rarely runs smoothly in
practice: sometimes simply identifying a risk is the critical
problem, while at other times arranging an efficient economic
transfer of the risk is the skill that makes one risk manager
stand out from another. (In Chapter 2 we discuss the risk
management process from the perspective of a corporation.)
To the unwary, Figure 1-1 might suggest that risk management
is a continual process of corporate risk reduction. But we
mustn’t think of the modern attempt to master risk in defensive
terms alone. Risk management is really about how firms
actively select the type and level of risk that it is appropriate for
them to assume. Most business decisions are about sacrificing
current resources for future uncertain returns.
In this sense, risk management and
risk taking aren’t opposites, but two
sides of the same coin. Together
they drive all our modern
Economies:
the capacity to make forward-
looking choices about risk in relation
to reward lies at the heart of the
management process of all
enduringly successful corporations.
Sin embargo, el aumento de la gestión del riesgo financiero como
disciplina formal ha sido un asunto lleno de baches, especialmente en
los últimos 10 años. Por un lado, hemos visto un crecimiento
extraordinario en nuevos tipos de instituciones que se ganan su
sustento tomando y administrando riesgos (por ejemplo, fondos de
cobertura), así como algunos éxitos extraordinarios en los mecanismos
de gestión de riesgos: la falta de quiebras de instituciones financieras
durante la violenta caída de la calidad crediticia en 2001-2002 a
menudo se afirma que es el resultado de mejores procesos de gestión
del riesgo de crédito en los bancos.
La gestión de riesgos también es ahora ampliamente reconocida como
la fuerza más creativa en los mercados financieros del mundo. Un
ejemplo reciente sorprendente es el desarrollo de un enorme mercado
de derivados de crédito, que permite a las instituciones obtener
seguros para protegerse contra el incumplimiento crediticio (o,
alternativamente, para recibir un pago por asumir el riesgo de crédito
como una inversión).
Credit derivatives can be used to redistribute part or all
of an institution’s credit-risk exposures to banks, hedge
funds, or other institutional investors, and they are a
specific example of a broader, beneficial trend in
financial markets summed up by Alan Greenspan,
chairman of the U.S.
Federal Reserve Board:
“The development of our paradigms for containing risk
has emphasized dispersion of risk to those willing, and
presumably able, to bear it. If risk is properly dispersed,
shocks to the overall economic system will be better
absorbed and less likely to create cascading failures
that could threaten financial stability.”
Los derivados de crédito se pueden utilizar para redistribuir
parte o la totalidad de las exposiciones al riesgo de crédito de
una institución a bancos, fondos de cobertura u otros inversores
institucionales, y son un ejemplo específico de una tendencia
más amplia y beneficiosa en los mercados financieros resumida
por Alan Greenspan, presidente de los Estados Unidos.
Junta de la Reserva Federal:
"El desarrollo de nuestros paradigmas para contener el riesgo
ha enfatizado la dispersión del riesgo para aquellos dispuestos,
y presumiblemente capaces, de soportarlo. Si el riesgo se
dispersa adecuadamente, los choques en el sistema económico
general se absorberán mejor y será menos probable que creen
fallas en cascada que podrían amenazar la estabilidad
financiera".
On the other hand, the last 10 years have seen some
extraordinary and embarrassing failures of risk
management in its broadest definition. These range from
the near failure of the giant hedge fund Long-Term Capital
Management (LTCM) in 1998 to the string of financial
scandals associated with the millennial boom in the equity
and technology markets (from Enron,WorldCom, Global
Crossing, and Qwest in the United States to Parmalat in
Europe). Unfortunately, risk management has not
consistently been able to prevent market disruptions or to
prevent business accounting scandals resulting from
breakdowns in corporate governance.
https://www.youtube.com/watch?v=jrEf8uabe7E
In the case of the former problem, there are serious concerns
that derivative markets make it easier to take on large amounts
of risk, and that the “herd behavior” of risk managers after a crisis
gets underway (e.g., selling risky asset classes when risk
measures reach a certain level) actually increases market
volatility. Sophisticated financial engineering, supplied by the
banking, securities, and insurance industries, also played a role
in covering up the true economic condition of poorly run
companies during the equity markets’ millennial boom and bust.
Alongside rather simpler accounting mistakes and ruses, this
type of financial engineering was one reason that some of these
companies violently imploded after years of false success (rather
than simply fading away or being taken over at an earlier point).
https://www.youtube.com/watch?v=ldbkr2eN6qk
Part of the reason for risk management’s mixed
record here lies with the double-edged nature of risk
management technologies. Every financial instrument
that allows a company to transfer risk also allows
other corporations to assume that risk as a
counterparty in the same market—wisely or not. Most
importantly, every risk management mechanism that
allows us to change the shape of cash flows, such as
deferring a negative outcome into the future, may work
to the short-term benefit of one group of stakeholders
in a firm (e.g., managers) at the same time that it is
destroying long-term value for another group (e.g.,
shareholders or pensioners).
In a world that is increasingly driven by risk management concepts
and technologies, we need to look more carefully at the increasingly
fluid and complex nature of risk itself, and at how to determine
whether any change in a corporation’s risk profile serves the
interests of stakeholders. We need to make sure we are at least as
literate in the language of risk as we are in the language of reward.
The nature of risk forms the topic of our next section, and it will
lead us to the reason we’ve tried to make this book accessible to
everyone, from shareholders, board members, and top executives
to line managers, legal and back-office staff, and administrative
assistants. We’ve removed from this book many of the complexities
of mathematics that act as a barrier to understanding the essential
principles of risk management, in the belief that, just as war is too
important to be left to the generals, risk management has become
too important to be left to the “rocket scientists” of the world of
financial derivatives.
BOX 1.1
RISK FACTORS AND THE MODELING OF
RISK
In order to measure risk, the risk analyst first

seeks to identify the key factors that seem likely
to cause volatility in the returns from the
position or portfolio under consideration. For
example, in the case of an equity investment,
the risk factor will be the volatility of the stock
price (categorized in the appendix to this
chapter as a market risk), which can be
estimated in various ways.
In this case, we identified a single risk factor. But the number
of risk factors that are considered in a risk analysis—and
included in any risk modeling—varies considerably depending
on both the problem and the sophistication of the approach.
For example, in the recent past, bank risk analysts might have
analyzed the risk of an interest-rate position in terms of the
effect of a single risk factor—e.g., the yield to maturity of
government bonds, assuming that the yields for all maturities
are perfectly correlated. But this one-factor model approach
ignored the risk that the dynamic of the term structure of
interest rates is driven by more factors, e.g., the forward
rates. Nowadays, leading banks analyze their interest rate
exposures using at least two or three factors, as we describe
in Chapter 6.
Further, the risk manager must also measure the influence of the risk
factors on each other, the statistical measure of which is the
“covariance.” Disentangling the effects of multiple risk factors and
quantifying the influence of each is a fairly complicated undertaking,
especially when covariance alters over time (i.e., is stochastic, in the
modeler’s terminology). There is often a distinct difference in the
behavior and relationship of risk factors during normal business
conditions and during stressful conditions such as financial crises.
Under ordinary market conditions, the behavior of risk factors is

relatively less difficult to predict because it does not change
significantly in the short and medium term: future behavior can be
extrapolated, to some extent, from past performance. However, during
tressful conditions, the behavior of risk factors becomes far more
unpredictable, and past behavior may offer little help in predicting
future behavior. It’s at this point that statistically measurable risk
threatens to turn into the kind of unmeasurable uncertainty that we
discuss in Box 1-2.
TYPOLOGY OF
RISK EXPOSURES
In Chapter 1 we defined risk as the volatility of returns leading

to “unexpected losses,” with higher volatility indicating higher
risk. The volatility of returns is directly or indirectly influenced
by numerous variables, which we called risk factors, and by
the interaction between these risk factors.
But how do we consider the universe of risk factors in a
systematic way? Risk factors can be broadly grouped into the
following categories: market risk, credit risk, liquidity risk,
operational risk, legal and regulatory risk, business risk,
strategic risk, and reputation risk (Figure 1A-1). These
categories can then be further decomposed into more specific
categories, as we show in Figure 1A-2 for market risk and
credit risk.
MARKET RISK
Market risk is the risk that changes in financial market prices and rates will
reduce the dollar value of a security or a portfolio. Price risk for fixed-income
products can be decomposed into a general market-risk component (the risk
that the market as a whole will fall in value) and a specific market-risk
component, unique to the particular financial transaction under consideration,
that also reflects the credit risk hidden in the instrument. In trading activities,
risk arises both from open (unhedged) positions and from imperfect
correlations between market positions that are intended to offset one another.
Market risk is given many different names in different contexts. For example,
in the case of a fund, the fund may be marketed as tracking the performance
of a certain benchmark. In this case, market risk is important to the extent that
it creates a risk of tracking error. Basis risk is a term used in the risk
management industry to describe the chance of a breakdown in the
relationship between the price of a product, on the one hand, and the price of
the instrument used to hedge that price exposure, on the other. Again, it is
really just a context-specific form of market risk.
There are four major types of market risk.
MARKET RISK
El riesgo de mercado es el riesgo de que los cambios en los precios y tasas de los
mercados financieros reduzcan el valor en dólares de un valor o una cartera. El
riesgo de precio para los productos de renta fija puede descomponerse en un
componente general de riesgo de mercado (el riesgo de que el mercado en su
conjunto caiga en valor) y un componente específico de riesgo de mercado, único
para la transacción financiera particular considerada, que también refleje el riesgo
de crédito oculto en el instrumento. En las actividades comerciales, el riesgo surge
tanto de las posiciones abiertas (sin cobertura) como de las correlaciones
imperfectas entre las posiciones de mercado que están destinadas a compensarse
entre sí.
El riesgo de mercado recibe muchos nombres diferentes en diferentes contextos.

Por ejemplo, en el caso de un fondo, el fondo puede comercializarse como
seguimiento del rendimiento de un determinado índice de referencia. En este caso,
el riesgo de mercado es importante en la medida en que crea un riesgo de error de
seguimiento. El riesgo de base es un término utilizado en la industria de gestión de
riesgos para describir la posibilidad de una ruptura en la relación entre el precio de
un producto, por un lado, y el precio del instrumento utilizado para cubrir esa
exposición al precio, por el otro. Una vez más, en realidad es solo una forma de
riesgo de mercado específica del contexto.
Hay cuatro tipos principales de riesgo de mercado.
Interest-Rate Risk
The simplest form of interest-rate risk is the risk that the value of a
fixedincome security will fall as a result of an increase in market interest
rates. But in complex portfolios of interest-rate-sensitive assets, many
different kinds of exposure can arise from differences in the maturities,
nominal values, and reset dates of instruments and cash flows that are
assetlike (i.e., “longs”) and those that are liability-like (i.e., “shorts”).
In particular, as we explain in more detail in Chapter 6, “curve” risk can
arise in portfolios in which long and short positions of different maturities
are effectively hedged against a parallel shift in yields, but not against a
change in the shape of the yield curve. Meanwhile, even when offsetting
positions have the same maturity, basis risk can arise if the rates of the
positions are imperfectly correlated. For example, threemonth Eurodollar
instruments and three-month Treasury bills both naturally pay three-
month interest rates. However, these rates are not perfectly correlated
with each other, and spreads between their yields may vary over time. As
a result, a three-month Treasury bill funded by threemonth Eurodollar
deposits represents an imperfectly offset or hedged position.
Riesgo de tipo de interés
La forma más simple de riesgo de tasa de interés es el
riesgo de que el valor de un valor de ingreso fijo caiga como
resultado de un aumento en las tasas de interés del
mercado. Pero en carteras complejas de activos sensibles a
las tasas de interés, muchos tipos diferentes de exposición
pueden surgir de diferencias en los vencimientos, los
valores nominales y las fechas de restablecimiento de los
instrumentos y flujos de efectivo que son similares a los
activos (es decir, "largos") y aquellos que son similares a
los pasivos (es decir, "cortos").
En particular, como explicamos con más detalle en el
capítulo 6, el riesgo de "curva" puede surgir en carteras en
las que las posiciones largas y cortas de diferentes
vencimientos se protegen efectivamente contra un cambio
paralelo en los rendimientos, pero no contra un cambio en
la forma de la curva de rendimientos. Mientras tanto,
incluso cuando las posiciones de compensación tienen el
mismo vencimiento, el riesgo de base puede surgir si las
Equity Price Risk
This is the risk associated with volatility in stock prices.

The general market risk of equity refers to the
sensitivity of an instrument or portfolio value to a
change in the level of broad stock market indices. The
specific or idiosyncratic risk of equity refers to that
portion of a stock’s price volatility that is determined by
characteristics specific to the firm, such as its line
of business, the quality of its management, or a
breakdown in its production process. According to
portfolio theory, general market risk cannot be
eliminated through portfolio diversification, while
specific risk can be diversified away.
Riesgo del precio de la renta variable
Este es el riesgo asociado con la volatilidad en los
precios de las acciones. El riesgo general de mercado
de la renta variable se refiere a la sensibilidad de un
instrumento o valor de cartera a un cambio en el nivel
de los índices bursátiles generales. El riesgo
específico o idiosincrásico de la equidad se refiere a
la parte de la volatilidad del precio de una acción que
está determinada por características específicas de la
empresa, como su línea.
del negocio, la calidad de su gestión, o una avería en
su proceso productivo. De acuerdo con la teoría de la
cartera, el riesgo general de mercado no se puede
eliminar a través de la diversificación de la cartera,
mientras que el riesgo específico se puede
diversificar.
Foreign Exchange Risk
Foreign exchange risk arises from open or imperfectly hedged
positions in a particular currency. These positions may arise as a
natural consequence of business operations, rather than from any
conscious desire to take a trading position in a currency. Foreign
exchange volatility can sweep away the return from expensive
cross-border investments, and at the same time place a firm at a
competitive disadvantage in relation to its foreign competitors.
1 It may also generate huge operating losses and, through the
uncertainty it causes, inhibit investment. The major drivers of
foreign exchange risk are imperfect correlations in the movement
of currency prices and fluctuations in international interest rates.
Although it is important to acknowledge exchange rates as a
distinct element of market risk, the valuation of foreign exchange
transactions requires knowledge of the behavior of domestic and
foreign interest rates, as well as of spot exchange rates.
Riesgo cambiario
El riesgo cambiario surge de posiciones abiertas
o imperfectamente cubiertas en una moneda en
particular. Estas posiciones pueden surgir como
una consecuencia natural de las operaciones
comerciales, en lugar de cualquier deseo
consciente de tomar una posición comercial en
una moneda. La volatilidad de las divisas puede
eliminar el rendimiento de las costosas
inversiones transfronterizas y, al mismo tiempo,
colocar a una empresa en una desventaja
competitiva en relación con sus competidores
extranjeros.
1 También puede generar enormes pérdidas
operativas y, a través de la incertidumbre que
causa, inhibir la inversión. Los principales
Commodity Price Risk
The price risk of commodities differs considerably from interest-rate and foreign
exchange risk, since most commodities are traded in markets in which the
concentration of supply in the hands of a few suppliers can magnify price
volatility. Fluctuations in the depth of trading in the market (i.e., market liquidity)
often accompany and exacerbate high levels of price volatility. Other
fundamentals affecting a commodity’s price include the ease and cost of storage,
which varies considerably across the commodity markets (e.g., from gold, to
electricity, to wheat). As a result of these factors, commodity prices generally
have higher volatilities and larger price discontinuities (i.e., moments when prices
leap from one level to another) than most traded financial securities.
Commodities can be classified according to their characteristics as follows: hard
commodities are nonperishable commodities, the markets for which are further
divided into precious metals (e.g., gold, silver, and platinum), which have a high
price/weight value, and base metals (e.g., copper, zinc, and tin); soft
commodities, or commodities that have a short shelf life and are hard to store,
which are mainly agricultural products (e.g., grains, coffee, and sugar); and
energy commodities, which consist of oil, gas, electricity, and other energy
products.
Riesgo de precio de materias primas
El riesgo de precios de los productos básicos difiere
considerablemente del riesgo de tipo de interés y de tipo de
cambio, ya que la mayoría de los productos básicos se
negocian en mercados en los que la concentración de la
oferta en manos de unos pocos proveedores puede
magnificar la volatilidad de los precios. Las fluctuaciones en
la profundidad de la negociación en el mercado (es decir, la
liquidez del mercado) a menudo acompañan y exacerban los
altos niveles de volatilidad de los precios. Otros
fundamentos que afectan el precio de un producto básico
incluyen la facilidad y el costo del almacenamiento, que
varía considerablemente entre los mercados de productos
básicos (por ejemplo, desde el oro hasta la electricidad y el
trigo). Como resultado de estos factores, los precios de las
materias primas generalmente tienen volatilidades más altas
y discontinuidades de precios más grandes (es decir,
momentos en que los precios saltan de un nivel a otro) que
la mayoría de los valores financieros negociados. Los
productos básicos se pueden clasificar de acuerdo con sus
CREDIT RISK
Credit risk is the risk that a change in the credit quality of a
counterparty will affect the value of a security or a portfolio. Default,
whereby a counterparty is unwilling or unable to fulfill its contractual
obligations, is the extreme case; however, institutions are also
exposed to the risk that a counterparty
might be downgraded by a rating agency.
Credit risk is an issue only when the position is an asset, i.e., when
it has a positive replacement value. In that situation, if the
counterparty defaults, the firm loses either all of the market value of
the position or, more commonly, the part of the value that it cannot
recover following the credit event. (The value it is likely to recover is
called the recovery value, or the recovery rate when it is expressed
as a percentage; the amount it is expected to lose is called the loss
given default.)
CREDIT RISK
El riesgo de crédito es el riesgo de que un cambio en la calidad
crediticia de una contraparte afecte el valor de un valor o una cartera.
El incumplimiento, por el cual una contraparte no quiere o no puede
cumplir con sus obligaciones contractuales, es el caso extremo; sin
embargo, las entidades también están expuestas al riesgo de que una
contraparte
podría ser degradado por una agencia de calificación.
El riesgo de crédito es un problema solo cuando la posición es un
activo, es decir, cuando tiene un valor de reemplazo positivo. En esa
situación, si la contraparte incumple, la empresa pierde todo el valor de
mercado de la posición o, más comúnmente, la parte del valor que no
puede recuperar después del evento crediticio. (El valor que es
probable que recupere se denomina valor de recuperación, o la tasa de
recuperación cuando se expresa como un porcentaje; la cantidad que
se espera que pierda se denomina pérdida dada por defecto).
CREDIT RISK
Unlike the potential loss given default on coupon bonds or
loans, the one on derivative positions is usually much lower
than the nominal amount of the deal, and in many cases is only
a fraction of this amount. This is because the economic value of
a derivative instrument is related to its replacement or market
value rather than to its nominal or face value.
However, the credit exposures induced by the replacement
values of derivative instruments are dynamic: they can be
negative at one point in time, and yet become positive at a later
point in time after market conditions have changed. Therefore,
firms must examine not only the current exposure, measured
by the current replacement value, but also the profile of
potential future exposures up to the termination of the deal.
CREDIT RISK
A diferencia de la pérdida potencial dada por incumplimiento en bonos
de cupón o préstamos, la de las posiciones de derivados suele ser
mucho más baja que el monto nominal del acuerdo, y en muchos casos
es solo una fracción de esta cantidad. Esto se debe a que el valor
económico de un instrumento derivado está relacionado con su valor de
reemplazo o de mercado en lugar de con su valor nominal o nominal.
Sin embargo, las exposiciones crediticias inducidas por los valores de
reposición de los instrumentos derivados son dinámicas: pueden ser
negativas en un momento dado y, sin embargo, llegar a ser positivas en
un momento posterior después de que las condiciones del mercado
hayan cambiado. Por lo tanto, las empresas deben examinar no solo la
exposición actual, medida por el valor de reemplazo actual, sino
también el perfil de las posibles exposiciones futuras hasta la
terminación del acuerdo.
LIQUIDITY RISK
Liquidity risk comprises both funding liquidity risk and asset
liquidity risk, although these two dimensions of liquidity risk are
closely related (see Figure 1A-3). Funding liquidity risk relates
to a firm’s ability to raise the necessary cash to roll over its debt;
to meet the cash, margin, and collateral requirements of
counterparties; and (in the case of funds) to satisfy capital
withdrawals. Funding liquidity risk can be managed by holding
cash and cash equivalents, setting credit lines in place, and
monitoring buying power. (Buying power refers to the amount
that a trading counterparty can borrow against assets under
stressed market conditions.) In Chapter 14 we discuss in detail
the liquidity aspects of the Long-Term Capital Management crisis
in August 1998, after Russia defaulted on its debt obligations.
LIQUIDITY RISK
El riesgo de liquidez comprende tanto el riesgo de liquidez de financiación
como el riesgo de liquidez de activos, aunque estas dos dimensiones del
riesgo de liquidez están estrechamente relacionadas (véase la figura 1A-
3). El riesgo de liquidez de financiación se relaciona con la capacidad
de una empresa para recaudar el efectivo necesario para refinanciar su
deuda; para cumplir con los requisitos de efectivo, margen y garantía de
las contrapartes; y (en el caso de los fondos) para satisfacer los retiros de
capital. El riesgo de liquidez de la financiación se puede gestionar
mediante la tenencia de efectivo y equivalentes de efectivo, el
establecimiento de líneas de crédito y el monitoreo del poder adquisitivo.
(El poder adquisitivo se refiere a la cantidad que una contraparte comercial
puede pedir prestada contra activos en condiciones de mercado
estresadas). En el capítulo 14 discutimos en detalle los aspectos de
liquidez de la crisis de gestión de capital a largo plazo en agosto de 1998,
después de que Rusia incumpliera sus obligaciones de deuda.
LIQUIDITY RISK
Asset liquidity risk, often simply called liquidity risk, is the risk
that an institution will not be able to execute a transaction at the
prevailing market price because there is, temporarily, no appetite
for the deal on the other side of the market. If the transaction
cannot be postponed, its execution may lead to a substantial loss
on the position. This risk is generally very hard to quantify. (In
current implementations of the market value-at-risk, or VaR,
approach, liquidity risk is accounted for only in the sense that
one of the parameters of a VaR model is the period of time, or
holding period, thought necessary to liquidate the relevant
positions.) Asset liquidity risk may reduce an institution’s ability to
manage and hedge market risk as well as its capacity to satisfy
any shortfall in funding by liquidating its assets.
LIQUIDITY RISK
El riesgo de liquidez de activos, a menudo llamado simplemente riesgo
de liquidez, es el riesgo de que una institución no pueda ejecutar una
transacción al precio de mercado prevaleciente porque,
temporalmente, no hay apetito por el acuerdo en el otro lado del
mercado. Si la transacción no se puede posponer, su ejecución puede
conducir a una pérdida sustancial en la posición. Este riesgo es
generalmente muy difícil de cuantificar. (En las implementaciones
actuales del enfoque de valor de mercado en riesgo, o VaR, el riesgo
de liquidez se contabiliza solo en el sentido de que uno de los
parámetros de un modelo de VaR es el período de tiempo, o período
de tenencia, que se considera necesario para liquidar las posiciones
relevantes). El riesgo de liquidez de los activos puede reducir la
capacidad de una entidad para gestionar y cubrir el riesgo de mercado,
así como su capacidad para satisfacer cualquier déficit de financiación
mediante la liquidación de sus activos.
OPERATIONAL RISK
Operational risk refers to potential losses resulting from inadequate systems,
management failure, faulty controls, fraud, and human error.3 As we discuss in
Chapters 13 and 14, many of the large losses from derivative trading over the
last decade are the direct consequence of operational failures.
Derivative trading is more prone to operational risk than cash transactions are
because derivatives, by their nature, are leveraged transactions. The valuation
of complex derivatives also creates considerable operational risk. Very tight
controls are an absolute necessity if a firm is to avoid large losses.
Operational risk includes fraud—for example, when a trader or other employee
intentionally falsifies and misrepresents the risks incurred in a transaction.
Technology risk, principally computer systems risk, also falls into the
operational risk category. Human factor risk is a special form of operational
risk. It relates to the losses that may result from human errors, such as pushing
the wrong button on a computer, inadvertently destroying a file, or entering the
wrong value for the parameter input of a model.
OPERATIONAL RISK
El riesgo operacional se refiere a las pérdidas potenciales resultantes de
sistemas inadecuados, fallas de gestión, controles defectuosos, fraude y error
humano.3 Como discutimos en los Capítulos 13 y 14, muchas de las grandes
pérdidas del comercio de derivados en la última década son la consecuencia
directa de fallas operativas.
El comercio de derivados es más propenso al riesgo operativo que las

transacciones en efectivo porque los derivados, por su naturaleza, son
transacciones apalancadas. La valoración de derivados complejos también
crea un riesgo operativo considerable. Los controles muy estrictos son una
necesidad absoluta si una empresa quiere evitar grandes pérdidas.
El riesgo operacional incluye el fraude, por ejemplo, cuando un comerciante u

otro empleado falsifica y tergiversa intencionalmente los riesgos incurridos en
una transacción. El riesgo tecnológico, principalmente el riesgo de los
sistemas informáticos, también entra en la categoría de riesgo operativo. El
riesgo de factor humano es una forma especial de riesgo operacional. Se
relaciona con las pérdidas que pueden resultar de errores humanos, como
presionar el botón incorrecto en una computadora, destruir inadvertidamente
un archivo o ingresar el valor incorrecto para la entrada de parámetros de un
modelo.
LEGAL AND REGULATORY RISK
Legal and regulatory risk arises for a whole variety of reasons
and is closely related to reputation risk (discussed later). For
example, a counterparty might lack the legal or regulatory
authority to engage in a risky transaction. In the derivative
markets, legal risks often become apparent only when a
counterparty, or an investor, loses money on a transaction and
decides to sue the provider firm to avoid meeting its
obligations (for an example, see Box 6-3). Another aspect of
regulatory risk is the potential impact of a change in tax law on
the market value of a position. For example, when the British
government changed the tax code to remove a particular tax
benefit during the summer of 1997, one major investment
bank suffered huge losses.
LEGAL AND REGULATORY RISK
El riesgo legal y regulatorio surge por una gran variedad de
razones y está estrechamente relacionado con el riesgo de
reputación (discutido más adelante). Por ejemplo, una contraparte
puede carecer de la autoridad legal o regulatoria para participar en
una transacción riesgosa. En los mercados de derivados, los
riesgos jurídicos a menudo se hacen evidentes sólo cuando una
contraparte, o un inversor, pierde dinero en una transacción y
decide demandar a la empresa proveedora para evitar cumplir con
sus obligaciones (por ejemplo, véase el recuadro 6-3). Otro
aspecto del riesgo regulatorio es el impacto potencial de un
cambio en la legislación fiscal sobre el valor de mercado de una
posición. Por ejemplo, cuando el gobierno británico cambió el
código tributario para eliminar un beneficio fiscal particular durante
el verano de 1997, un importante banco de inversión sufrió
enormes pérdidas.
BUSINESS RISK
Business risk refers to the classic risks of the world of business, such
as uncertainty about the demand for products, the price that can be
charged for those products, or the cost of producing and delivering
products. We’ve offered a recent example of business risk in Box 1A-1.
In the world of manufacturing, business risk is largely managed through
core tasks of management, e.g., choices about channels, products,
suppliers, how products are marketed, and so on. There is, of course, a
very large general business literature that deals with these issues, so
for the most part we skirt around the problem of business risk in this
book.
However, there remains the question of how business risk should be
addressed within formal risk management frameworks of the kind that
we describe in this book and that have become prevalent in the
financial industries.
BUSINESS RISK
El riesgo empresarial se refiere a los riesgos clásicos del mundo
de los negocios, como la incertidumbre sobre la demanda de
productos, el precio que se puede cobrar por esos productos o el
costo de producción y entrega de productos. Hemos ofrecido un
ejemplo reciente de riesgo empresarial en el recuadro 1A-1.
En el mundo de la fabricación, el riesgo empresarial se gestiona en
gran medida a través de tareas básicas de gestión, por ejemplo,
opciones sobre canales, productos, proveedores, cómo se
comercializan los productos, etc. Hay, por supuesto, una literatura
general de negocios muy grande que trata estos temas, por lo que
en su mayor parte eludimos el problema del riesgo empresarial en
este libro.
Sin embargo, queda la cuestión de cómo se debe abordar el riesgo
empresarial dentro de los marcos formales de gestión de riesgos
del tipo que describimos en este libro y que se han vuelto
frecuentes en las industrias financieras.
BUSINESS RISK
Although business risks should surely be assessed and monitored, it is no
obvious how to do this in a way that complements the banking industry’
treatment of classic credit and market risks. There is also room for debate ove
whether business risks need to be supported by capital in the same explic
way. In the new Basel Capital Accord, “business risk” is excluded from the
regulators’ definition of operational risk, even though some researchers believe
it to be a greater source of volatility in bank revenue than the operationa
event/failure risk that the regulators have included within bank minimum capita
requirements.
Business risk is affected by such factors as the quality of the firm’s strateg
and/or its reputation, as well as other factors. Therefore, it is common practice
to view strategic and reputation risks as components of business risk, and the
risk literature sometimes refers to a complex of business/strategic/reputation
risk. In this typology, we differentiate these three components.
BUSINESS RISK
Aunque los riesgos comerciales seguramente deben evaluarse y
monitorearse, no es obvio cómo hacerlo de una manera que complemente
el tratamiento de la industria bancaria de los riesgos clásicos de crédito y
mercado. También hay espacio para el debate sobre si los riesgos
empresariales deben ser respaldados por el capital de la misma manera
explícita. En el nuevo Acuerdo de Capital de Basilea, el "riesgo comercial"
se excluye de la definición de riesgo operacional de los reguladores, a
pesar de que algunos investigadores creen que es una mayor fuente de
volatilidad en los ingresos bancarios que el riesgo de evento operativo /
quiebra que los reguladores han incluido dentro de los requisitos de capital
mínimo bancario.
El riesgo empresarial se ve afectado por factores tales como la calidad de
la estrategia de la empresa y / o su reputación, así como otros factores.
Por lo tanto, es una práctica común ver los riesgos estratégicos y de
reputación como componentes del riesgo comercial, y la literatura de
riesgos a veces se refiere a un complejo de riesgo comercial / estratégico /
reputación. En esta tipología, diferenciamos estos tres componentes.
STRATEGIC RISK
Strategic risk refers to the risk of significant investments
for which there is a high uncertainty about success and
profitability. If the venture is not successful, then the firm
will usually suffer a major write-off, and its reputation
among investors will be damaged. Box 1A-2 gives an
example of strategic risk.
Banks, for example, certainly suffer from business risks
and strategic risks, as illustrated in Box 1A-3. Some of
these risks are very similar to the kind of risk seen in
nonfinancial companies, while others are driven by
market or credit variables, even though they are not
conventionally thought of as market risks or credit risks.
STRATEGIC RISK
El riesgo estratégico se refiere al riesgo de inversiones
significativas para las cuales existe una alta incertidumbre
sobre el éxito y la rentabilidad. Si la empresa no tiene éxito,
entonces la empresa generalmente sufrirá una cancelación
importante y su reputación entre los inversores se verá
dañada. El recuadro 1A-2 ofrece un ejemplo de riesgo
estratégico.
Los bancos, por ejemplo, ciertamente sufren de riesgos
empresariales y riesgos estratégicos, como se ilustra en el
recuadro 1A-3. Algunos de estos riesgos son muy similares al
tipo de riesgo que se observa en las empresas no financieras,
mientras que otros son impulsados por variables de mercado o
de crédito, a pesar de que no se consideran
convencionalmente como riesgos de mercado o riesgos de
crédito.
REPUTATION RISK
Reputation risk is taking on a new dimension after the accounting scandals
that defrauded the shareholders, bondholders, and employees of many major
corporations during the boom in the equity markets in the late 1990s.
Investigations into the mutual fund and insurance industries by New York
Attorney General Elliot Spitzer have also made clear just how important a
reputation for fair dealing is, both with customers and with regulators.
In a survey released in August 2004 by PriceWaterhouseCoopers (PWC) and
the Economist Intelligence Unit (EIU), 34 percent of the 134 international
bank respondents believed that reputation risk is the biggest risk to market
and shareholder value faced by banks, while market and credit risk scored
only 25 percent each. No doubt this was partly because corporate scandals
like those involving Enron, WorldCom, and other such companies were still
fresh in bankers’ minds. Some experts, however, believe that reputation risk
is a genuine emerging issue, and that the new Basel Capital Accord will help
to shift the attention of regulators and investors away from quantifiable risks
like market and credit risk and toward strategic and business risk.
REPUTATION RISK
El riesgo de reputación está adquiriendo una nueva dimensión después de los
escándalos contables que defraudaron a los accionistas, tenedores de bonos y
empleados de muchas grandes corporaciones durante el auge de los mercados de
valores a fines de la década de 1990. Las investigaciones sobre las industrias de
fondos mutuos y seguros por parte del Fiscal General de Nueva York, Elliot Spitzer,
también han dejado en claro cuán importante es la reputación de trato justo, tanto
con los clientes como con los reguladores.
En una encuesta publicada en agosto de 2004 por PriceWaterhouseCoopers (PWC) y

The Economist Intelligence Unit (EIU), el 34 por ciento de los 134 bancos
internacionales encuestados creía que el riesgo de reputación es el mayor riesgo
para el mercado y el valor para los accionistas que enfrentan los bancos, mientras
que el riesgo de mercado y de crédito obtuvo solo el 25 por ciento cada uno. Sin
duda, esto se debió en parte a que los escándalos corporativos como los que
involucran a Enron, WorldCom y otras compañías similares todavía estaban frescos
en la mente de los banqueros. Algunos expertos, sin embargo, creen que el riesgo de
reputación es un problema emergente genuino, y que el nuevo Acuerdo de Capital de
Basilea ayudará a desviar la atención de los reguladores e inversores de los riesgos
cuantificables como el riesgo de mercado y de crédito hacia el riesgo estratégico y
comercial.
REPUTATION RISK
Reputation risk poses a special threat to financial
institutions because the nature of their business requires the
confidence of customers, creditors, regulators, and the
general marketplace. The development of a wide array of
structured finance products, including financial derivatives
for market and credit risk, asset-backed securities with
customized cash flows, and specialized financial conduits
that manage pools of purchased assets, has put pressure on
the interpretation of accounting and tax rules and, in turn,
has given rise to significant concerns about the legality and
appropriateness of certain transactions. Involvement in such
transactions may damage an institution’s reputation and
franchise value.
REPUTATION RISK
El riesgo de reputación representa una amenaza especial para
las instituciones financieras porque la naturaleza de su negocio
requiere la confianza de los clientes, acreedores, reguladores y el
mercado en general. El desarrollo de una amplia gama de
productos financieros estructurados, incluidos los derivados
financieros para el riesgo de mercado y de crédito, los valores
respaldados por activos con flujos de efectivo personalizados y
los conductos financieros especializados que administran
conjuntos de activos comprados, ha ejercido presión sobre la
interpretación de las normas contables y fiscales y, a su vez, ha
dado lugar a preocupaciones significativas sobre la legalidad y la
idoneidad de ciertas transacciones. La participación en tales
transacciones puede dañar la reputación y el valor de franquicia
de una institución.
References:
• Crouhy, Galai, Mark (2006). The Essencialts of Risk Management. McGraw-Hill.
• Amaru Maximiano, A. C. (2009). Fundamentos de administración: Teoría general y proceso administrativo.
• Koontz, H., & Weihrich, H. (1998). Administración: una perspectiva global. México: McGraw-Hill.
• Stoner, J. A. F., Freeman, R. E., & Gilbert, D. R. (1996). Administración. México: Pearson Educación.
®
M.C. Rogelio Garza Rivera

Rector
Dr. Santos Guzmán López

Secretario General
M.A. Emilia Edith Vásquez Farías

Secretario Académico
Dra. Lucero Cavazos Salazar

Coordinadora de la
Dirección de Educación Digital
Dr. Luis Alberto Villarreal Villarreal

Director de la Facultad de
Contaduría Publica y Administración

Clase 1 Chapter 1

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Clase 1 Chapter 1

Uploaded by

Copyright:

Available Formats

Licenciado en Negocios

AS A TEACHER, I HAVE TAUGHT THE FOLLOWING SUBJECTS…

M. N. I. Carlos Alberto Mayorga Torres

FOUR-LEAF CLOVER OF MANAGEMENT

You motivate, direct &otherwise

You arrange tasks, people &

You monitor permormance,

ADMINISTRATIVE FUNCTIONAL AREAS OF

PLANNING ORGANIZATION MARKETING PRODUCTION

CONTROL DIRECTION HUMAN

M.N.I. CARLOS ALBERTO MAYORGA TORRES

4. What will I do about it?

Indeed, much of what distinguishes

In order to measure risk, the risk analyst first

Under ordinary market conditions, the behavior of risk factors is

In Chapter 1 we defined risk as the volatility of returns leading

El riesgo de mercado recibe muchos nombres diferentes en diferentes contextos.

Hay cuatro tipos principales de riesgo de mercado.

This is the risk associated with volatility in stock prices.

El comercio de derivados es más propenso al riesgo operativo que las

El riesgo operacional incluye el fraude, por ejemplo, cuando un comerciante u

En una encuesta publicada en agosto de 2004 por PriceWaterhouseCoopers (PWC) y

• Crouhy, Galai, Mark (2006). The Essencialts of Risk Management. McGraw-Hill.

• Amaru Maximiano, A. C. (2009). Fundamentos de administración: Teoría general y proceso administrativo.

M.C. Rogelio Garza Rivera

Dr. Santos Guzmán López

M.A. Emilia Edith Vásquez Farías

Dra. Lucero Cavazos Salazar

Dr. Luis Alberto Villarreal Villarreal

You might also like