UNIVERSIDAD MARIANO GALVEZ DE GUATEMALA

FACULTAD DE CIENCIAS ECONOOMICAS

MAESTRIA DE ESTANDARES INTERNACIONALES DE CONTABILIDAD Y AUDITORIA
CURSO: GESTION DE RIESGOS II
CATEDRATICO MARIO ROBERTO CASTAÑEDA

BANDAS DE TIEMPO Y VOLATILIDAD

ALUMNO
EDWARD FELIPE FUNES

CARNE
3210-09-815

HUEHUETENANGO JUNIO 2020

 DESCRIPCIÓN BANDA 1 BANDA 2
Saldos
ACTIVOS NETOS 1 a 7 dias de 8 a 15 dias
Caja 301,733 301,733 0

Bancos Nacionales y extranjeros 1,703,898 170,390 30,670

Inversiones 1,576,922 157,692 170,308
Cartera de creditos vigentes 6,849,840 0 0
Cartera de creditos vencidos 57,735 0 0
Activos extraordinarios 30,021
Bienes Inmuebles 83,833
TOTAL ACTIVOS 10,603,982 629,815 200,978
PASIVOS
Depositos sin fecha cierta de vencimiento 4,901,936 1,040,903 482,823
Depositos a plazos 3,818,455
Creditos obtenidos 804,407
Cuentas por pagar 91,735
Creditos penientes e desembolsar 738,817
Capital 922,287
PASIVOS Y CAPITAL 11,277,637 1,040,903 482,823

BRECHA DE LIQUIDEZ (BL) -411,088 -281,845

BRECHA DE LIQUIDES ACUMULADA -411,088 -692,934
ACTIVOS LIQUIDOS 629,815 200,978
LIQUIDEZ EN RIESGO LeR -1,040,903 -893,911
 BANDA 3 BANDA 4 BANDA 5 BANDA 6 BANDA 7 BANDA 8
de 16 a 30 dias de 31 a 60 dias de 61 a 90 dias de 91 a 180 dias de 181 a 365 dias de 365 dias
0 0 0 0 0 0
38,671
12,504
123,786
60,114 72,136 13,706 67,844 174,961 1,114,077
249,784 99,914 134,884 61,147 140,639 562,555
205,495 199,330 193,350 187,550 181,923 5,882,191
0 0 0 0 0 57,735

83,833
515,393 371,380 341,940 316,541 672,484 7,700,390

631,148 2,747,061
3,703,901 111,117 3,334 100 3 0
48,264 45,369 42,646 40,088 37,682 590,358
4,587 4,357 4,140 3,933 3,736 70,983
36,941 175,469 131,602 19,740 18,753 356,312
922,287
4,424,842 336,312 181,721 63,860 60,175 4,687,001

-3,909,448 35,068 160,219 252,681 612,310 3,013,390

-4,602,382 -4,567,314 -4,407,095 -4,154,414 -3,542,105 -528,715
309,898 172,050 148,589 128,991 315,600 1,676,632
-4,912,280 -4,739,364 -4,555,685 -4,283,406 -3,857,704 -2,205,346
 TOTAL

301,733

1,703,898
1,576,922
6,849,840
57,735
30,021
83,833
10,603,982
0
4,901,936
3,818,455
804,407
91,735
738,817
922,287
11,277,637
 Fecha TCR1/ X M X-M (X-M)2
2/15/2020 2,075,285
2/16/2020 2,058,164 -0.83% 1.15% -1.97% 0.00038985
2/17/2020 2,256,525 9.20% 1.15% 8.05% 0.00648213
2/18/2020 2,208,560 -2.15% 1.15% -3.30% 0.00108803
2/19/2020 2,281,504 3.25% 1.15% 2.10% 0.00044075
2/20/2020 2,206,881 -3.33% 1.15% -4.48% 0.00200298
2/21/2020 2,271,763 2.90% 1.15% 1.75% 0.00030541
2/22/2020 2,312,724 1.79% 1.15% 0.64% 4.05752E-05
2/23/2020 2,361,163 2.07% 1.15% 0.92% 8.51605E-05
2/24/2020 2,308,931 -2.24% 1.15% -3.39% 0.00114715
2/25/2020 2,271,300 -1.64% 1.15% -2.79% 0.00078021
2/26/2020 2,281,804 0.46% 1.15% -0.69% 4.74169E-05
2/27/2020 2,349,139 2.91% 1.15% 1.76% 0.00030915
2/28/2020 2,392,417 1.83% 1.15% 0.68% 4.56337E-05
2/29/2020 2,561,813 6.84% 1.15% 5.69% 0.00323887
3/1/2020 2,525,737 -1.42% 1.15% -2.57% 0.00065958
3/2/2020 2,629,489 4.03% 1.15% 2.88% 0.00082694
3/3/2020 2,437,697 -7.57% 1.15% -8.72% 0.00761008
3/4/2020 2,485,023 1.92% 1.15% 0.77% 5.97247E-05
3/5/2020 2,532,629 1.90% 1.15% 0.75% 5.58903E-05
3/6/2020 2,352,511 -7.38% 1.15% -8.53% 0.00727176
3/7/2020 2,361,936 0.40% 1.15% -0.75% 5.62747E-05
3/8/2020 2,483,419 5.02% 1.15% 3.87% 0.00149418
3/9/2020 2,478,090 -0.21% 1.15% -1.36% 0.00018627
3/10/2020 2,524,183 1.84% 1.15% 0.69% 4.80158E-05
3/11/2020 2,570,687 1.83% 1.15% 0.68% 4.56399E-05
3/12/2020 2,639,764 2.65% 1.15% 1.50% 0.00022549
3/13/2020 2,658,111 0.69% 1.15% -0.46% 2.09196E-05
3/14/2020 2,688,315 1.13% 1.15% -0.02% 4.0448E-08
3/15/2020 2,649,286 -1.46% 1.15% -2.61% 0.00068249
3/16/2020 2,678,612 1.10% 1.15% -0.05% 2.41493E-07
3/17/2020 2,633,472 -1.70% 1.15% -2.85% 0.000812
3/18/2020 2,702,684 2.59% 1.15% 1.44% 0.00020858
3/19/2020 2,602,311 -3.78% 1.15% -4.93% 0.00243497
3/20/2020 2,697,850 3.61% 1.15% 2.46% 0.00060296
3/21/2020 2,795,403 3.55% 1.15% 2.40% 0.00057701
3/22/2020 2,979,870 6.39% 1.15% 5.24% 0.00274612
3/23/2020 2,821,020 -5.48% 1.15% -6.63% 0.00439319
3/24/2020 2,823,431 0.09% 1.15% -1.06% 0.00011333
3/25/2020 2,851,638 0.99% 1.15% -0.16% 2.43125E-06
3/26/2020 2,869,968 0.64% 1.15% -0.51% 2.59355E-05
3/27/2020 2,887,750 0.62% 1.15% -0.53% 2.83368E-05
3/28/2020 2,874,326 -0.47% 1.15% -1.62% 0.00026113
3/29/2020 2,850,445 -0.83% 1.15% -1.98% 0.00039375
3/30/2020 2,859,810 0.33% 1.15% -0.82% 6.75673E-05
3/31/2020 2,873,501 0.48% 1.15% -0.67% 4.52127E-05
4/1/2020 2,853,302 -0.71% 1.15% -1.86% 0.00034426
 4/2/2020 2,996,925 4.91% 1.15% 3.76% 0.0014145
4/3/2020 3,121,496 4.07% 1.15% 2.92% 0.00085414
4/4/2020 3,210,928 2.82% 1.15% 1.67% 0.00028048
4/5/2020 3,203,163 -0.24% 1.15% -1.39% 0.0001938
4/6/2020 3,106,357 -3.07% 1.15% -4.22% 0.00177984
4/7/2020 3,060,893 -1.47% 1.15% -2.62% 0.00068875
4/8/2020 3,143,962 2.68% 1.15% 1.53% 0.00023339
4/9/2020 3,196,366 1.65% 1.15% 0.50% 2.53085E-05
4/10/2020 3,239,224 1.33% 1.15% 0.18% 3.30969E-06
4/11/2020 3,260,830 0.66% 1.15% -0.49% 2.35422E-05
4/12/2020 3,433,812 5.17% 1.15% 4.02% 0.00161518
4/13/2020 3,356,465 -2.28% 1.15% -3.43% 0.0011753
4/14/2020 3,538,946 5.29% 1.15% 4.14% 0.00171732
4/15/2020 3,680,191 3.91% 1.15% 2.76% 0.00076373
4/16/2020 3,643,398 -1.00% 1.15% -2.15% 0.00046431
4/17/2020 3,685,799 1.16% 1.15% 0.01% 4.97934E-09
4/18/2020 3,645,909 -1.09% 1.15% -2.24% 0.00050094
4/19/2020 3,549,765 -2.67% 1.15% -3.82% 0.0014611
4/20/2020 3,748,552 5.45% 1.15% 4.30% 0.00184799
4/21/2020 3,765,108 0.44% 1.15% -0.71% 5.03119E-05
4/22/2020 3,720,505 -1.19% 1.15% -2.34% 0.00054836
4/23/2020 3,687,823 -0.88% 1.15% -2.03% 0.00041303
4/24/2020 3,843,319 4.13% 1.15% 2.98% 0.00088804
4/25/2020 3,928,460 2.19% 1.15% 1.04% 0.00010839
4/26/2020 4,045,148 2.93% 1.15% 1.78% 0.0003158
4/27/2020 4,129,413 2.06% 1.15% 0.91% 8.3122E-05
4/28/2020 4,296,121 3.96% 1.15% 2.81% 0.00078833
4/29/2020 4,192,972 -2.43% 1.15% -3.58% 0.00128184
4/30/2020 4,901,936 15.62% 1.15% 14.47% 0.02094401
 VOLATILIDAD

PROMEDIO 0.0011889 Des. Est. 3.45%

UP 4,901,936
NC 2.33

DESVIACION ESTANDAR NIVEL DE CONFIANZA

3.45% 2.33
UP
MRDP
4,901,936
Raiz cuadrada de 7 dias 2.64575131 1,040,903
Raiz cuadrada de 15 dias 3.87298335 1,523,726 482,823
Raiz cuadrada de 30 dias 5.47722558 2,154,875 631,148
Inestabilidad 2,154,875
Estabilidad 2,747,061
4,901,936

DESVIACION ESTANDAR MODERADO

3.45% 0.07
NIVEL DE CONFIANZA
0.424690717703776
UP
MRDP
2,081,807
Raiz cuadrada de 7 dias 2.64575131 2,081,807
Raiz cuadrada de 15 dias 3.87298335 3,047,453 965,646
Raiz cuadrada de 30 dias 5.47722558 4,309,749 1,262,296

DESVIACION ESTANDAR SEVERO

3.45% 0.14
NIVEL DE CONFIANZA
0.849381435407551
UP
MRDP
4,163,613
Raiz cuadrada de 7 dias 2.64575131 4,163,613
Raiz cuadrada de 15 dias 3.87298335 6,094,906 1,931,293
Raiz cuadrada de 30 dias 5.47722558 8,619,499 6,688,206
 RIESGO DE LIQUIEZ

En base a las cifras presentadas de la entidad, podemos observar que se

presenta co problemas de liquidez y tambien se concluye que no se cuenta
con una liquidez inmediata para fondeos e sus obligaciones.

PLANES PARA RIESGO DE LIQUIEZ

Determinar al menos un tiempo prudencial, para toma de decisiones para
tomar acciones mitigar riesgos en escenarios de alto riesgo

Establecer mecanismos que nos ayuden a identificar sobre posible falta de

liquidez dentro de nuestra institución

Velar porque los plaos de los depositos establecidos se cumplan de acuerdon

con las politicas de uestra institución