UNIVERSIDAD POLITECNICO GRANCOLOMBIANO

Gestión Integral del Riesgo Financiero

ECOPETROL

Jhon Wilson Serrato Hernández - Cód.. 1611024807

Sandra Milena Martínez Higuita - Cód.. 1611025289
Yuri Paola Acero López - Cód.. 1621024896

Seminario Financiero
Docente: Juan Carlos Rojas

Politécnico Gran Colombiano

2019
 RESUMEN

Realizamos el análisis de riesgo de mercado para la empresa ECOPETROL,

con los valores de la acción comprendidos por un año, entre el 1º de Febrero
de 2018 a 28 de Febrero de 2019, teniendo presente que el modelo se
comprende con datos historicos de un año o un minimo de 250 dias habiles y
asi procedemos a encontrar los retornos (dia Habil) y la desviacion estandar,
con estos datos hallamos el valor de riesgo (VAR) el cual es nuestro eje para
determinar el limite superior e inferior del año actual el cual nos entrega un
margen de precio de la acción de acuerdo al nivel de confianza 99% para el
dia siguiente.
 Introducción

En este trabajo analizaremos la acción de ECOPETROL para los

siguientes riesgos en 3 etapas:

1. Riesgo de Mercado
2. Riesgo de Crédito
3. Riesgo Operativo
Marco Teórico y Marco Metodológico
 Cotizaciones de la empresa: ECOPETROL
Dia Periodo Precio Cierre Retornos Distrubucion

1 Feb/01/2018 2,770
2 Feb/02/2018 2,665 -3.86% 4.0425735865
3 Feb/05/2018 2,485 -6.99% 0.1525011363
4 Feb/06/2018 2,500 0.60% 16.942109771
5 Feb/07/2018 2,430 -2.84% 7.8685410416
6 Feb/08/2018 2,335 -3.99% 3.6801012593
7 Feb/09/2018 2,455 5.01% 1.6484305718
8 Feb/12/2018 2,420 -1.44% 14.1465372961
9 Feb/13/2018 2,385 -1.46% 14.0623093545
10 Feb/14/2018 2,500 4.71% 2.17793111
11 Feb/15/2018 2,490 -0.40% 17.1221196945
12 Feb/16/2018 2,485 -0.20% 17.3503334589
13 Feb/19/2018 2,480 -0.20% 17.3500019728
14 Feb/20/2018 2,485 0.20% 17.4108443341
15 Feb/21/2018 2,475 -0.40% 17.1185662555
16 Feb/22/2018 2,565 3.57% 5.3101644828
17 Feb/23/2018 2,625 2.31% 10.6736681612
18 Feb/26/2018 2,655 1.14% 15.5731134526
19 Feb/27/2018 2,630 -0.95% 15.8848226418
20 Feb/28/2018 2,510 -4.67% 2.0790498434
21 Mar/01/2018 2,480 -1.20% 15.0359268791
22 Mar/02/2018 2,480 0.00% 17.4479855906
23 Mar/05/2018 2,510 1.20% 15.3534661368
24 Mar/06/2018 2,505 -0.20% 17.3516409008
25 Mar/07/2018 2,450 -2.22% 10.6798813947
26 Mar/08/2018 2,475 1.02% 15.9495568817
27 Mar/09/2018 2,505 1.20% 15.3452520872
28 Mar/12/2018 2,480 -1.00% 15.7092772474
29 Mar/13/2018 2,505 1.00% 15.9855391464
30 Mar/14/2018 2,505 0.00% 17.4479855906
31 Mar/15/2018 2,535 1.19% 15.3938599864
32 Mar/16/2018 2,590 2.15% 11.4395427988
33 Mar/20/2018 2,670 3.04% 7.3908647257
34 Mar/21/2018 2,750 2.95% 7.7754830151
35 Mar/22/2018 2,620 -4.84% 1.774223571
36 Mar/23/2018 2,700 3.01% 7.5368829851
37 Mar/26/2018 2,775 2.74% 8.7126567532
38 Mar/27/2018 2,645 -4.80% 1.8496089631
39 Mar/28/2018 2,615 -1.14% 15.253608298
40 Apr/02/2018 2,690 2.83% 8.3208346832
41 Apr/03/2018 2,730 1.48% 14.3478203443
42 Apr/04/2018 2,740 0.37% 17.2810553896
43 Apr/05/2018 2,740 0.00% 17.4479855906
44 Apr/06/2018 2,730 -0.37% 17.1715842946
45 Apr/09/2018 2,745 0.55% 17.0348144616
46 Apr/10/2018 2,790 1.63% 13.7409202043
47 Apr/11/2018 2,980 6.59% 0.2904489794
48 Apr/12/2018 2,955 -0.84% 16.1835575773
49 Apr/13/2018 2,835 -4.15% 3.2505338076
50 Apr/16/2018 2,760 -2.68% 8.5689880059
51 Apr/17/2018 2,870 3.91% 4.18642899
52 Apr/18/2018 2,935 2.24% 11.0100554164
53 Apr/19/2018 3,030 3.19% 6.7938227917
54 Apr/20/2018 3,030 0.00% 17.4479855906
55 Apr/23/2018 3,085 1.80% 13.0037547564
56 Apr/24/2018 3,060 -0.81% 16.2616250828
57 Apr/25/2018 3,045 -0.49% 16.9768372316
58 Apr/26/2018 3,010 -1.16% 15.2000909029
59 Apr/27/2018 3,070 1.97% 12.2269898675
60 Apr/30/2018 3,100 0.97% 16.0738784076
61 May/02/2018 3,105 0.16% 17.4290738873
62 May/03/2018 3,100 -0.16% 17.3803221855
63 May/04/2018 3,095 -0.16% 17.3801433452
64 May/07/2018 3,030 -2.12% 11.1310373878
65 May/08/2018 3,085 1.80% 13.0037547564
66 May/09/2018 3,160 2.40% 10.257998562
67 May/10/2018 3,100 -1.92% 12.0728868631
68 May/11/2018 3,135 1.12% 15.6173385968
69 May/15/2018 3,290 4.83% 1.9600010191
70 May/16/2018 3,205 -2.62% 8.8545743915
71 May/17/2018 3,170 -1.10% 15.3992919171
72 May/18/2018 3,150 -0.63% 16.699810343
73 May/21/2018 3,125 -0.80% 16.3063081056
74 May/22/2018 3,110 -0.48% 16.994543661
75 May/23/2018 3,025 -2.77% 8.169418711
76 May/24/2018 3,070 1.48% 14.3454419119
77 May/25/2018 2,955 -3.82% 4.1846195223
78 May/28/2018 2,900 -1.88% 12.2456091372
79 May/29/2018 3,030 4.39% 2.8790423841
80 May/30/2018 3,120 2.93% 7.8847868249
81 May/31/2018 3,090 -0.97% 15.8237175178
 82 Jun/01/2018 3,110 0.65% 16.8610506881
83 Jun/05/2018 3,080 -0.97% 15.8141431767
84 Jun/06/2018 3,015 -2.13% 11.082780262
85 Jun/07/2018 3,060 1.48% 14.3263218333
86 Jun/08/2018 3,045 -0.49% 16.9768372316
87 Jun/12/2018 3,005 -1.32% 14.5914182312
88 Jun/13/2018 3,010 0.17% 17.4270656242
89 Jun/14/2018 3,005 -0.17% 17.376781986
90 Jun/15/2018 2,985 -0.67% 16.6224637546
91 Jun/18/2018 2,985 0.00% 17.4479855906
92 Jun/19/2018 2,905 -2.72% 8.4106778477
93 Jun/20/2018 2,875 -1.04% 15.5973524106
94 Jun/21/2018 2,845 -1.05% 15.5620023017
95 Jun/22/2018 2,880 1.22% 15.2840019368
96 Jun/25/2018 2,820 -2.11% 11.2103719255
97 Jun/26/2018 2,885 2.28% 10.8284637201
98 Jun/27/2018 2,970 2.90% 7.9864730952
99 Jun/28/2018 2,985 0.50% 17.1041263695
100 Jun/29/2018 3,005 0.67% 16.8165157852
101 Jul/03/2018 2,930 -2.53% 9.2630840667
102 Jul/04/2018 2,930 0.00% 17.4479855906
103 Jul/05/2018 2,895 -1.20% 15.0383968616
104 Jul/06/2018 2,935 1.37% 14.7461967607
105 Jul/09/2018 3,000 2.19% 11.2366022688
106 Jul/10/2018 3,020 0.66% 16.8231640892
107 Jul/11/2018 2,955 -2.18% 10.884705413
108 Jul/12/2018 2,945 -0.34% 17.2064446939
109 Jul/13/2018 2,965 0.68% 16.7982905733
110 Jul/16/2018 2,940 -0.85% 16.1717648179
111 Jul/17/2018 2,960 0.68% 16.7959603039
112 Jul/18/2018 2,965 0.17% 17.4260374054
113 Jul/19/2018 2,950 -0.51% 16.9489283457
114 Jul/23/2018 2,970 0.68% 16.8006090825
115 Jul/24/2018 2,965 -0.17% 17.3751964787
116 Jul/25/2018 3,000 1.17% 15.4507636717
117 Jul/26/2018 3,005 0.17% 17.4269539347
118 Jul/27/2018 2,985 -0.67% 16.6224637546
119 Jul/30/2018 3,080 3.13% 7.0098394467
120 Jul/31/2018 3,070 -0.33% 17.2235810794
121 Aug/01/2018 3,125 1.78% 13.1048403841
122 Aug/02/2018 3,130 0.16% 17.4295684325
123 Aug/03/2018 3,095 -1.12% 15.3093683975
124 Aug/06/2018 3,140 1.44% 14.4747840469
125 Aug/08/2018 3,175 1.11% 15.6628929853
126 Aug/09/2018 3,030 -4.67% 2.0708229033
127 Aug/10/2018 3,070 1.31% 14.9700836813
128 Aug/13/2018 3,060 -0.33% 17.2222832365
129 Aug/14/2018 3,100 1.30% 15.016252488
130 Aug/15/2018 3,000 -3.28% 6.061915519
131 Aug/16/2018 3,065 2.14% 11.45285959
132 Aug/17/2018 3,095 0.97% 16.0693737092
133 Aug/21/2018 3,140 1.44% 14.4747840469
134 Aug/22/2018 3,220 2.52% 9.7326985303
135 Aug/23/2018 3,240 0.62% 16.9102816229
136 Aug/24/2018 3,270 0.92% 16.2153523752
137 Aug/27/2018 3,305 1.06% 15.8002784189
138 Aug/28/2018 3,330 0.75% 16.6338332258
139 Aug/29/2018 3,385 1.64% 13.6904970531
140 Aug/30/2018 3,445 1.76% 13.1856698193
141 Aug/31/2018 3,420 -0.73% 16.4798798642
142 Sep/03/2018 3,395 -0.73% 16.4668012869
143 Sep/04/2018 3,455 1.75% 13.2078104014
144 Sep/05/2018 3,430 -0.73% 16.485036084
145 Sep/06/2018 3,390 -1.17% 15.14054858
146 Sep/07/2018 3,410 0.59% 16.9663066709
147 Sep/10/2018 3,410 0.00% 17.4479855906
148 Sep/11/2018 3,480 2.03% 11.9630922758
149 Sep/12/2018 3,820 9.32% 0.0046364041
150 Sep/13/2018 3,765 -1.45% 14.0888973095
151 Sep/14/2018 3,790 0.66% 16.8284117341
152 Sep/17/2018 3,870 2.09% 11.703715699
153 Sep/18/2018 3,940 1.79% 13.0311453138
154 Sep/19/2018 3,850 -2.31% 10.2600837302
155 Sep/20/2018 3,715 -3.57% 4.9986927892
156 Sep/21/2018 3,680 -0.95% 15.8832800097
157 Sep/24/2018 3,900 5.81% 0.7290538181
158 Sep/25/2018 3,930 0.77% 16.6049650427
159 Sep/26/2018 3,925 -0.13% 17.4016876161
160 Sep/27/2018 3,980 1.39% 14.6735441306
161 Sep/28/2018 4,010 0.75% 16.6397759343
162 Oct/01/2018 4,150 3.43% 5.8257231181
163 Oct/02/2018 4,105 -1.09% 15.4254768718
164 Oct/03/2018 4,160 1.33% 14.899209072
165 Oct/04/2018 4,080 -1.94% 11.9601948113
166 Oct/05/2018 4,015 -1.61% 13.4435965031
167 Oct/08/2018 3,990 -0.62% 16.7177054812
168 Oct/09/2018 4,080 2.23% 11.0514981941
169 Oct/10/2018 4,015 -1.61% 13.4435965031
170 Oct/11/2018 3,900 -2.91% 7.5832412037
171 Oct/12/2018 3,950 1.27% 15.1050024411
172 Oct/16/2018 3,970 0.51% 17.1022152876
173 Oct/17/2018 3,965 -0.13% 17.4024230948
174 Oct/18/2018 3,925 -1.01% 15.6746788959
175 Oct/19/2018 3,950 0.63% 16.8807095179
176 Oct/22/2018 3,960 0.25% 17.3797332354
177 Oct/23/2018 3,845 -2.95% 7.4086256983
178 Oct/24/2018 3,685 -4.25% 2.9857604287
179 Oct/25/2018 3,705 0.54% 17.0456768876
180 Oct/26/2018 3,755 1.34% 14.8640470634
181 Oct/29/2018 3,690 -1.75% 12.8367547699
182 Oct/30/2018 3,750 1.61% 13.7953046092
183 Oct/31/2018 3,740 -0.27% 17.2891949756
184 Nov/01/2018 3,465 -7.64% 0.0615515491
185 Nov/02/2018 3,430 -1.02% 15.6705882585
186 Nov/06/2018 3,440 0.29% 17.3509158214
187 Nov/07/2018 3,480 1.16% 15.5086019481
188 Nov/08/2018 3,425 -1.59% 13.4982184613
189 Nov/09/2018 3,440 0.44% 17.1972648109
190 Nov/13/2018 3,240 -5.99% 0.5349668276
191 Nov/14/2018 3,250 0.31% 17.3365336916
192 Nov/15/2018 3,280 0.92% 16.2230170831
193 Nov/16/2018 3,275 -0.15% 17.3861119663
194 Nov/19/2018 3,190 -2.63% 8.7998079395
195 Nov/20/2018 3,060 -4.16% 3.2117798138
196 Nov/21/2018 3,150 2.90% 8.0081132362
197 Nov/22/2018 3,140 -0.32% 17.23233845
198 Nov/23/2018 3,020 -3.90% 3.9457481008
199 Nov/26/2018 3,075 1.80% 12.9779796074
200 Nov/27/2018 3,140 2.09% 11.6902541686
201 Nov/28/2018 3,115 -0.80% 16.2996036755
202 Nov/29/2018 3,110 -0.16% 17.3806774778
203 Nov/30/2018 3,105 -0.16% 17.380500228
204 Dec/03/2018 3,290 5.79% 0.744455585
205 Dec/04/2018 3,160 -4.03% 3.5576290693
206 Dec/05/2018 3,220 1.88% 12.6425758
207 Dec/06/2018 3,100 -3.80% 4.2466822524
208 Dec/07/2018 3,100 0.00% 17.4479855906
209 Dec/10/2018 3,020 -2.61% 8.8682009798
210 Dec/11/2018 2,980 -1.33% 14.5492257352
211 Dec/12/2018 3,015 1.17% 15.4703125112
212 Dec/13/2018 2,960 -1.84% 12.4152505861
213 Dec/14/2018 2,940 -0.68% 16.599206335
214 Dec/17/2018 2,875 -2.24% 10.6075607087
215 Dec/18/2018 2,835 -1.40% 14.2853123602
216 Dec/19/2018 2,815 -0.71% 16.5289969369
217 Dec/20/2018 2,615 -7.37% 0.0905826568
218 Dec/21/2018 2,665 1.89% 12.5844971947
219 Dec/24/2018 2,550 -4.41% 2.6096950369
220 Dec/26/2018 2,720 6.45% 0.3430470707
221 Dec/27/2018 2,715 -0.18% 17.3637766432
222 Dec/28/2018 2,645 -2.61% 8.879213022
223 Jan/02/2019 2,650 0.19% 17.4171068201
224 Jan/03/2019 2,670 0.75% 16.6376606288
225 Jan/04/2019 2,810 5.11% 1.4988481493
226 Jan/08/2019 2,890 2.81% 8.4118449548
227 Jan/09/2019 2,935 1.55% 14.0727144723
228 Jan/10/2019 2,935 0.00% 17.4479855906
229 Jan/11/2019 2,900 -1.20% 15.0457841551
230 Jan/14/2019 2,910 0.34% 17.3029693369
231 Jan/15/2019 2,930 0.68% 16.7817273033
232 Jan/16/2019 2,930 0.00% 17.4479855906
233 Jan/17/2019 2,910 -0.68% 16.5831323155
234 Jan/18/2019 2,895 -0.52% 16.9315626188
235 Jan/21/2019 2,900 0.17% 17.4244560913
236 Jan/22/2019 2,900 0.00% 17.4479855906
237 Jan/23/2019 2,825 -2.62% 8.8424400605
238 Jan/24/2019 2,835 0.35% 17.2938078379
239 Jan/25/2019 2,860 0.88% 16.3316128909
240 Jan/28/2019 2,815 -1.59% 13.5284289148
241 Jan/29/2019 2,850 1.24% 15.2392301249
242 Jan/30/2019 2,915 2.26% 10.9381992321
243 Jan/31/2019 2,920 0.17% 17.4249552729
244 Feb/01/2019 2,935 0.51% 17.0911018586
245 Feb/04/2019 2,920 -0.51% 16.939571988
246 Feb/05/2019 2,950 1.02% 15.9290194425
247 Feb/06/2019 2,920 -1.02% 15.6485282837
248 Feb/07/2019 2,865 -1.90% 12.1429248756
249 Feb/08/2019 2,865 0.00% 17.4479855906
250 Feb/11/2019 2,840 -0.88% 16.0886608671
251 Feb/12/2019 2,925 2.95% 7.7893324489
252 Feb/13/2019 2,955 1.02% 15.9341912378
253 Feb/14/2019 2,965 0.34% 17.3092312031
254 Feb/15/2019 3,055 2.99% 7.6117532018
255 Feb/18/2019 3,065 0.33% 17.3197260287
256 Feb/19/2019 3,050 -0.49% 16.9782376521
257 Feb/20/2019 3,085 1.14% 15.5580337087
258 Feb/21/2019 3,060 -0.81% 16.2616250828
259 Feb/22/2019 3,080 0.65% 16.8487912485
260 Feb/25/2019 3,145 2.09% 11.7056353691
261 Feb/26/2019 3,195 1.58% 13.9417903107
262 Feb/27/2019 3,230 1.09% 15.7229369968
263 Feb/28/2019 3,120 -3.46% 5.3679139052
esa: ECOPETROL

Desviación estándar 2.29% Nº desvíos por nivel de confianza

Nivel de confianza Desvíos
Valor en riesgo 90% 1.645
VAR al 99% 4.48% 95% 1.96
99% 2.576
VAR a 10 días
VAR al 99% 14.17%

Limites medidas de tendecia central

Superior 3,260 media 0.05%
Inferior 2,980 mediana 0.00%

# veces que el precio de la accion % de veces que el precio de la accion

rompe el limite rompe el limite
Superior 58 Superior 2%
Inferior 110 Inferior 4%

Distribucion Normal
20
18
16
14
Distribucion Normal

12
10
8
6
4
2
0
-10.00% -5.00% 0.00% 5.00% 10.00% 15.00%
Retorno Diario
 Precio Limite Limite
Dia Errores
Cierre inferior Superior
1 2,770.000
2 2,665.000 2593.24322 2946.75678 0
3 2,485.000 2494.94339 2835.05661 1
4 2,500.000 2326.42939 2643.57061 0
5 2,430.000 2340.47222 2659.52778 0
6 2,335.000 2274.939 2585.061 0
7 2,455.000 2186.00105 2483.99895 0
8 2,420.000 2298.34372 2611.65628 0
9 2,385.000 2265.57711 2574.42289 0
10 2,500.000 2232.8105 2537.1895 0
11 2,490.000 2340.47222 2659.52778 0 5000
12 2,485.000 2331.11033 2648.88967 0 4500
13 2,480.000 2326.42939 2643.57061 0
4000
14 2,485.000 2321.74844 2638.25156 0
15 2,475.000 2326.42939 2643.57061 0 3500
16 2,565.000 2317.0675 2632.9325 0 3000
17 2,625.000 2401.3245 2728.6755 0
18 2,655.000 2457.49583 2792.50417 0 2500

19 2,630.000 2485.5815 2824.4185 0 2000

20 2,510.000 2462.17678 2797.82322 0
1500
21 2,480.000 2349.83411 2670.16589 0
22 2,480.000 2321.74844 2638.25156 0 1000
23 2,510.000 2321.74844 2638.25156 0
500
24 2,505.000 2349.83411 2670.16589 0
25 2,450.000 2345.15317 2664.84683 0 0
1 8 15 22 2
26 2,475.000 2293.66278 2606.33722 0
27 2,505.000 2317.0675 2632.9325 0
28 2,480.000 2345.15317 2664.84683 0
29 2,505.000 2321.74844 2638.25156 0
30 2,505.000 2345.15317 2664.84683 0
15.00% 31 2,535.000 2345.15317 2664.84683 0
32 2,590.000 2373.23883 2696.76117 0
33 2,670.000 2424.72922 2755.27078 0
34 2,750.000 2499.62433 2840.37567 0
35 2,620.000 2574.51944 2925.48056 0
36 2,700.000 2452.81489 2787.18511 0
37 2,775.000 2527.71 2872.29 0
38 2,645.000 2597.92417 2952.07583 0
39 2,615.000 2476.21961 2813.78039 0
40 2,690.000 2448.13394 2781.86606 0
41 2,730.000 2518.34811 2861.65189 0
42 2,740.000 2555.79567 2904.20433 0
43 2,740.000 2565.15755 2914.84245 0
44 2,730.000 2565.15755 2914.84245 0
45 2,745.000 2555.79567 2904.20433 0
46 2,790.000 2569.8385 2920.1615 0
47 2,980.000 2611.967 2968.033 1
48 2,955.000 2789.84289 3170.15711 0
49 2,835.000 2766.43817 3143.56183 0
50 2,760.000 2654.0955 3015.9045 0
51 2,870.000 2583.88133 2936.11867 0
52 2,935.000 2686.86211 3053.13789 0
53 3,030.000 2747.71439 3122.28561 0
54 3,030.000 2836.65233 3223.34767 0
55 3,085.000 2836.65233 3223.34767 0
56 3,060.000 2888.14272 3281.85728 0
57 3,045.000 2864.738 3255.262 0
58 3,010.000 2850.69517 3239.30483 0
59 3,070.000 2817.92855 3202.07145 0
60 3,100.000 2874.09989 3265.90011 0
61 3,105.000 2902.18555 3297.81445 0
62 3,100.000 2906.8665 3303.1335 0
63 3,095.000 2902.18555 3297.81445 0
64 3,030.000 2897.50461 3292.49539 0
65 3,085.000 2836.65233 3223.34767 0
66 3,160.000 2888.14272 3281.85728 0
67 3,100.000 2958.35689 3361.64311 0
68 3,135.000 2902.18555 3297.81445 0
69 3,290.000 2934.95217 3335.04783 0
70 3,205.000 3080.06144 3499.93856 0
71 3,170.000 3000.48539 3409.51461 0
72 3,150.000 2967.71878 3372.28122 0
73 3,125.000 2948.995 3351.005 0
74 3,110.000 2925.59028 3324.40972 0
75 3,025.000 2911.54744 3308.45256 0
76 3,070.000 2831.97139 3218.02861 0
77 2,955.000 2874.09989 3265.90011 0
78 2,900.000 2766.43817 3143.56183 0
79 3,030.000 2714.94778 3085.05222 0
80 3,120.000 2836.65233 3223.34767 0
81 3,090.000 2920.90933 3319.09067 0
 82 3,110.000 2892.82367 3287.17633 0
83 3,080.000 2911.54744 3308.45256 0
84 3,015.000 2883.46178 3276.53822 0
85 3,060.000 2822.6095 3207.3905 0
86 3,045.000 2864.738 3255.262 0
87 3,005.000 2850.69517 3239.30483 0
88 3,010.000 2813.24761 3196.75239 0
89 3,005.000 2817.92855 3202.07145 0
90 2,985.000 2813.24761 3196.75239 0
91 2,985.000 2794.52383 3175.47617 0
92 2,905.000 2794.52383 3175.47617 0
93 2,875.000 2719.62872 3090.37128 0
94 2,845.000 2691.54305 3058.45695 0
95 2,880.000 2663.45739 3026.54261 0
96 2,820.000 2696.224 3063.776 0
97 2,885.000 2640.05267 2999.94733 0
98 2,970.000 2700.90494 3069.09506 0
99 2,985.000 2780.481 3159.519 0
100 3,005.000 2794.52383 3175.47617 0
101 2,930.000 2813.24761 3196.75239 0
102 2,930.000 2743.03344 3116.96656 0
103 2,895.000 2743.03344 3116.96656 0
104 2,935.000 2710.26683 3079.73317 0
105 3,000.000 2747.71439 3122.28561 0
106 3,020.000 2808.56667 3191.43333 0
107 2,955.000 2827.29044 3212.70956 0
108 2,945.000 2766.43817 3143.56183 0
109 2,965.000 2757.07628 3132.92372 0
110 2,940.000 2775.80005 3154.19995 0
111 2,960.000 2752.39533 3127.60467 0
112 2,965.000 2771.11911 3148.88089 0
113 2,950.000 2775.80005 3154.19995 0
114 2,970.000 2761.75722 3138.24278 0
115 2,965.000 2780.481 3159.519 0
116 3,000.000 2775.80005 3154.19995 0
117 3,005.000 2808.56667 3191.43333 0
118 2,985.000 2813.24761 3196.75239 0
119 3,080.000 2794.52383 3175.47617 0
120 3,070.000 2883.46178 3276.53822 0
121 3,125.000 2874.09989 3265.90011 0
122 3,130.000 2925.59028 3324.40972 0
123 3,095.000 2930.27122 3329.72878 0
124 3,140.000 2897.50461 3292.49539 0
125 3,175.000 2939.63311 3340.36689 0
126 3,030.000 2972.39972 3377.60028 0
127 3,070.000 2836.65233 3223.34767 0
128 3,060.000 2874.09989 3265.90011 0
129 3,100.000 2864.738 3255.262 0
130 3,000.000 2902.18555 3297.81445 0
131 3,065.000 2808.56667 3191.43333 0
132 3,095.000 2869.41894 3260.58106 0
133 3,140.000 2897.50461 3292.49539 0
134 3,220.000 2939.63311 3340.36689 0
135 3,240.000 3014.52822 3425.47178 0
136 3,270.000 3033.252 3446.748 0
137 3,305.000 3061.33767 3478.66233 0
138 3,330.000 3094.10428 3515.89572 0
139 3,385.000 3117.509 3542.491 0
140 3,445.000 3168.99939 3601.00061 0
141 3,420.000 3225.17072 3664.82928 0
142 3,395.000 3201.766 3638.234 0
143 3,455.000 3178.36128 3611.63872 0
144 3,430.000 3234.53261 3675.46739 0
145 3,390.000 3211.12789 3648.87211 0
146 3,410.000 3173.68033 3606.31967 0
147 3,410.000 3192.40411 3627.59589 0
148 3,480.000 3192.40411 3627.59589 0
149 3,820.000 3257.93733 3702.06267 1
150 3,765.000 3576.24155 4063.75845 0
151 3,790.000 3524.75116 4005.24884 0
152 3,870.000 3548.15589 4031.84411 0
153 3,940.000 3623.051 4116.949 0
154 3,850.000 3688.58422 4191.41578 0
155 3,715.000 3604.32722 4095.67278 0
156 3,680.000 3477.94172 3952.05828 0
157 3,900.000 3445.17511 3914.82489 0
158 3,930.000 3651.13666 4148.86334 0
159 3,925.000 3679.22233 4180.77767 0
160 3,980.000 3674.54139 4175.45861 0
161 4,010.000 3726.03178 4233.96822 0
162 4,150.000 3754.11744 4265.88256 0
163 4,105.000 3885.18389 4414.81611 0
164 4,160.000 3843.05539 4366.94461 0
165 4,080.000 3894.54578 4425.45422 0
166 4,015.000 3819.65066 4340.34934 0
167 3,990.000 3758.79839 4271.20161 0
168 4,080.000 3735.39366 4244.60634 0
169 4,015.000 3819.65066 4340.34934 0
170 3,900.000 3758.79839 4271.20161 0
171 3,950.000 3651.13666 4148.86334 0
172 3,970.000 3697.94611 4202.05389 0
173 3,965.000 3716.66989 4223.33011 0
174 3,925.000 3711.98894 4218.01106 0
175 3,950.000 3674.54139 4175.45861 0
176 3,960.000 3697.94611 4202.05389 0
177 3,845.000 3707.308 4212.692 0
178 3,685.000 3599.64628 4090.35372 0
179 3,705.000 3449.85605 3920.14395 0
180 3,755.000 3468.57983 3941.42017 0
181 3,690.000 3515.38928 3994.61072 0
182 3,750.000 3454.537 3925.463 0
183 3,740.000 3510.70833 3989.29167 0
184 3,465.000 3501.34644 3978.65356 1
185 3,430.000 3243.8945 3686.1055 0
186 3,440.000 3211.12789 3648.87211 0
187 3,480.000 3220.48978 3659.51022 0
188 3,425.000 3257.93733 3702.06267 0
189 3,440.000 3206.44694 3643.55306 0
190 3,240.000 3220.48978 3659.51022 0
191 3,250.000 3033.252 3446.748 0
192 3,280.000 3042.61389 3457.38611 0
193 3,275.000 3070.69955 3489.30045 0
194 3,190.000 3066.01861 3483.98139 0
195 3,060.000 2986.44255 3393.55745 0
196 3,150.000 2864.738 3255.262 0
197 3,140.000 2948.995 3351.005 0
198 3,020.000 2939.63311 3340.36689 0
199 3,075.000 2827.29044 3212.70956 0
200 3,140.000 2878.78083 3271.21917 0
201 3,115.000 2939.63311 3340.36689 0
202 3,110.000 2916.22839 3313.77161 0
203 3,105.000 2911.54744 3308.45256 0
204 3,290.000 2906.8665 3303.1335 0
205 3,160.000 3080.06144 3499.93856 0
206 3,220.000 2958.35689 3361.64311 0
207 3,100.000 3014.52822 3425.47178 0
208 3,100.000 2902.18555 3297.81445 0
209 3,020.000 2902.18555 3297.81445 0
210 2,980.000 2827.29044 3212.70956 0
211 3,015.000 2789.84289 3170.15711 0
212 2,960.000 2822.6095 3207.3905 0
213 2,940.000 2771.11911 3148.88089 0
214 2,875.000 2752.39533 3127.60467 0
215 2,835.000 2691.54305 3058.45695 0
216 2,815.000 2654.0955 3015.9045 0
217 2,615.000 2635.37172 2994.62828 1
218 2,665.000 2448.13394 2781.86606 0
219 2,550.000 2494.94339 2835.05661 0
220 2,720.000 2387.28167 2712.71833 1
221 2,715.000 2546.43378 2893.56622 0
222 2,645.000 2541.75283 2888.24717 0
223 2,650.000 2476.21961 2813.78039 0
224 2,670.000 2480.90055 2819.09945 0
225 2,810.000 2499.62433 2840.37567 0
226 2,890.000 2630.69078 2989.30922 0
227 2,935.000 2705.58589 3074.41411 0
228 2,935.000 2747.71439 3122.28561 0
229 2,900.000 2747.71439 3122.28561 0
230 2,910.000 2714.94778 3085.05222 0
231 2,930.000 2724.30967 3095.69033 0
232 2,930.000 2743.03344 3116.96656 0
233 2,910.000 2743.03344 3116.96656 0
234 2,895.000 2724.30967 3095.69033 0
235 2,900.000 2710.26683 3079.73317 0
236 2,900.000 2714.94778 3085.05222 0
237 2,825.000 2714.94778 3085.05222 0
238 2,835.000 2644.73361 3005.26639 0
239 2,860.000 2654.0955 3015.9045 0
240 2,815.000 2677.50022 3042.49978 0
241 2,850.000 2635.37172 2994.62828 0
242 2,915.000 2668.13833 3031.86167 0
243 2,920.000 2728.99061 3101.00939 0
244 2,935.000 2733.67155 3106.32845 0
245 2,920.000 2747.71439 3122.28561 0
246 2,950.000 2733.67155 3106.32845 0
247 2,920.000 2761.75722 3138.24278 0
248 2,865.000 2733.67155 3106.32845 0
249 2,865.000 2682.18117 3047.81883 0
250 2,840.000 2682.18117 3047.81883 0
251 2,925.000 2658.77644 3021.22356 0
252 2,955.000 2738.3525 3111.6475 0
253 2,965.000 2766.43817 3143.56183 0
254 3,055.000 2775.80005 3154.19995 0
255 3,065.000 2860.05705 3249.94295 0
256 3,050.000 2869.41894 3260.58106 0
257 3,085.000 2855.37611 3244.62389 0
258 3,060.000 2888.14272 3281.85728 0
259 3,080.000 2864.738 3255.262 0
260 3,145.000 2883.46178 3276.53822 0
261 3,195.000 2944.31405 3345.68595 0
262 3,230.000 2991.1235 3398.8765 0
263 3,120.000 3023.89011 3436.10989 0
6
Retabilidad 12.64%
nivel de confianza 99%
VAR Modelo de Simulación H 6.38%
total errores 6
error porcentual 2.3%
eficiencia eficiente

BACKTESTING ECOPETROL
5000

4500

4000

3500

3000

2500

2000

1500

1000

500

0
1 8 15 22 29 36 43 50 57 64 71 78 85 92 99 06 13 20 27 34 41 48 55 62 69 76 83 90 97 04 11 18 25 32 39
1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2

Di a Preci o Ci erre Li mi te i nferi or Li mi te Superi or

En esta grafica se puede observar la representacion del Backtesting. Se graficaron los valores de la ac
ecopetrol del año bursatil anterior junto con los limites inferiores y superiores para cada dia. el morado
representa el limite superior, el rojo el valor de accion en cada dia y el verde el limite inferior. Lo que aq
puede observar es que la accion muy rara la vez sobrepasa estos limites.
OL

9 76 83 90 97 04 11 18 25 32 39 46 53 60
1 1 1 1 2 2 2 2 2 2 2 2 2

Li mi te Superi or

graficaron los valores de la accion de

res para cada dia. el morado
de el limite inferior. Lo que aqui se
Para un nivel de confianza del 99% las acciones de inversion de Ecopetrol presentan un
VAR segun el modelo de Simulación Historica que puede ser positiva o negativa en un dia
del 6.38%. Por otro lado se pudo corroborar la importancia de utilizar este tipo de calculos
para saber cual sera el comportamiento a futuro de nuestras acciones y portafolios,
utilizando de la manera correcta, estas herramientas y procedimientos nuestro dinero o el de
otras personas que asesoremos, de alguna forma podra estar protegido.
 Bibliografia
https://www.ecopetrol.com.co/wps/portal/es/ecopetrol-web/historico-de-la-accion