Modelo para riesgo de liquidez

Instrucciones: lee con atención la siguiente situación y realiza lo que se solicita.

Un inversionista compró 5,000 acciones a un precio inicial de $13.00 MXN cada una, en 2017. En la actualidad busca venderlas con urgencia, ya que necesita liquidez que le
permita solventar sus necesidades financieras. Al querer venderlas se percata de que, a consecuencia de la alta volatilidad en el mercado, estas acciones se cotizan ya en
$12.70 MXN.

Para ello, decide elaborar un modelo financiero que le permita conocer con anticipación el riesgo de liquidez al que se enfrenta por la alza o baja del precio del activo.

1. Elabora un modelo financiero que te permita determinar el grado de liquidez de las acciones de la empresa; deberás considerar la siguiente información:

a. Volumen de transacciones de la empresa: 25,395,872 de la empresa)

b. Volumen de acciones de la empresa: 49,260,745 55.088%
c. Volumen de acciones del mercado: 166,226,904

2. Realiza un análisis de sensibilidad del modelo, considerando que la comisión que se paga a la casa de bolsa, tanto por la compra como por la venta de la acción, es del
0.20% + IVA. Con 5000 acciones Con el precio en 12.7 Con 5000 acciones
Precio $ 13.00 Comisión 0.2% IVA 16% Casa de Bolsa $ 0.03 Gobierno $ 0.0042 Total $ 13.03 $ 65,150.80 $ 12.70 $ 0.03 $ 0.0041 $ 12.73 $ 63,647.32
3. Menciona las variables que se pueden considerar si se quisiera elaborar un modelo financiero para determinar el riesgo de liquidez; deberás considerar la siguiente a.
clasificación: Variables
elementale
a. Elementales o de entrada. s de
b. Intermedias o de proceso. decisión
c. De resultado o de salida.
b. De proceso c. De resultado Casa Tax Total

4. Explica la importancia de realizar un modelo financiero para la toma de decisiones en la gestión de riesgos de liquidez.
El objetivo de un modelo financiero es poder proyectar el impactode cualquier cambio en la estructura de la empresa con el objetivo de pasmar la realidad en una imagen transaparente para así tener una correcta toma de desiciones, a través del modelaje con los datos históricos se puede realizar una correcta gestión de los riesgos y de la liquidez.
 Calcular la beta en las 4 modalidades (pendiente, ecuación en gráfica, análisis de datos, fórmu
bimboA
alsea*
amxl
femsaubd

Z-Score de ALSEA grado de liquidez del modelo Z-score

EVA de ALSEA
Economic Value Added
Modelo nos indica si esta generando valor empresa para los accionistas o desechando valor

Date FEMSA Rendimiento Correcto BIMBO Rendimiento Correcto

9/30/2021 130.83 0.98% 0.98% 41.55 3.70% 3.70%
9/29/2021 129.55 -0.75% -0.75% 40.04 -1.66% -1.66%
9/28/2021 130.52 0.61% 0.61% 40.71 -2.47% -2.47%
9/27/2021 129.73 -1.07% -1.07% 41.73 1.45% 1.45%
9/26/2021 131.13 -3.51% -3.51% 41.13 -0.39% -0.39%
9/25/2021 135.81 -0.55% -0.55% 41.29 2.95% 2.95%
9/24/2021 136.56 -0.40% -0.40% 40.09 -2.07% -2.07%
9/23/2021 137.11 0.06% 0.06% 40.93 -2.89% -2.89%
9/22/2021 137.03 1.49% 1.49% 42.13 -5.99% -5.99%
9/21/2021 135 -0.04% -0.04% 44.73 13.17% 13.17%
9/20/2021 135.06 0.79% 0.79% 39.21 0.69% 0.69%
9/19/2021 134 -1.80% -1.80% 38.94 3.02% 3.02%
9/18/2021 136.43 -0.31% -0.31% 37.78 1.09% 1.09%
9/17/2021 136.86 1.49% 1.49% 37.37 1.62% 1.62%
9/16/2021 134.83 3.59% 3.59% 36.77 1.51% 1.51%
9/15/2021 130.07 -0.57% -0.57% 36.22 -0.39% -0.39%
9/14/2021 130.81 0.65% 0.65% 36.36 1.50% 1.50%
9/13/2021 129.96 -0.51% -0.51% 35.82 0.06% 0.06%
9/12/2021 130.62 0.24% 0.24% 35.8 -1.08% -1.08%
9/11/2021 130.31 -0.79% -0.79% 36.19 -2.21% -2.21%
9/10/2021 131.35 -0.87% -0.87% 37 -1.37% -1.37%
9/9/2021 132.5 0.00% 0.00% 37.51 0.00% 0.00%
Desv 1.41% Desv 3.72%
Volatilidad 0.4217 Volatilidad 1.1156
Cov 4.7135677082E-05 Cov 8.5068370701E-05
Beta Form 0.729713 Beta Form 1.32
Beta Pend 0.729712611370186 Beta Pend 1.31695282156135

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.439438
R Square 0.193106
Adjusted R 0.150638
Standard E 0.012696
Observatio 21

ANOVA
df SS MS F Significance F
Regression 1 0.000733 0.000732895595058 4.547079 0.046242
Residual 19 0.003062 0.000161179446023
Total 20 0.003795

Coefficients
Standard Error t Stat P-value Lower 95% Upper 95%
Intercept -0.001912 0.002864 -0.667567587197905 0.512437 -0.007905 0.00408199945
X Variable 0.796295 0.373429 2.13238798268853 0.046242 0.0147 1.57789129565
álisis de datos, fórmula)

o desechando valor

AMXL Rendimiento Correcto ALSEA Rendimiento Correcto IPC

14.06 -0.57% -0.57% 19.87 -1.80% -1.80% 38,289.76
14.14 -0.21% -0.21% 20.23 -0.74% -0.74% 38,016.06
14.17 1.21% 1.21% 20.38 -2.81% -2.81% 37,998.34
14 -0.43% -0.43% 20.96 2.66% 2.66% 37,901.96
14.06 -0.78% -0.78% 20.41 -1.94% -1.94% 37,466.95
14.17 1.28% 1.28% 20.81 -4.00% -4.00% 37,546.72
13.99 -1.07% -1.07% 21.66 -2.82% -2.82% 37,019.68
14.14 -1.20% -1.20% 22.28 -1.56% -1.56% 37,136.78
14.31 -0.84% -0.84% 22.63 1.02% 1.02% 37,720.84
14.43 -0.69% -0.69% 22.4 0.31% 0.31% 37,771.21
14.53 -0.75% -0.75% 22.33 0.36% 0.36% 37,742.14
14.64 -3.36% -3.36% 22.25 -2.75% -2.75% 37,357.46
15.14 -0.40% -0.40% 22.87 0.97% 0.97% 37,433.30
15.2 0.93% 0.93% 22.65 6.29% 6.29% 37,447.10
15.06 1.88% 1.88% 21.27 1.18% 1.18% 36,881.67
14.78 2.95% 2.95% 21.02 -0.10% -0.10% 36,323.69
14.35 -1.52% -1.52% 21.04 0.38% 0.38% 36,327.84
14.57 -1.90% -1.90% 20.96 -0.10% -0.10% 36,465.67
14.85 5.40% 5.40% 20.98 -0.76% -0.76% 36,590.26
14.07 0.21% 0.21% 21.14 -1.32% -1.32% 36,190.91
14.04 0.07% 0.07% 21.42 -1.53% -1.53% 36,389.39
14.03 0.00% 0.00% 21.75 0.00% 0.00% 36,465.46
Desv 1.85% Desv 2.24%
Volatilidad 0.5539 Volatilidad 0.6725
Cov 7.3761299567E-05 Cov 6.7256912174E-05
Beta Form 1.14 Beta Form 1.04
Beta Pend 1.14190680726688 Beta Pend 1.04121166923229

FEMSA
2.00%

1.50%
 FEMSA
2.00%

1.50%

f(x) = 0.238569197925831 x1.00%

+ 0.002468712770668
0.50%

0.00%
-4.00% -3.00% -2.00% -1.00% 0.00% 1.00% 2.00% 3.00% 4.00%
-0.50%

-1.00%

-1.50%

-2.00%

Lower 95.0%
Upper 95.0%
-0.007905 0.004082
0.0147 1.577891
Rendimiento Correcto
0.72% 0.72%
0.05% 0.05%
0.25% 0.25%
1.15% 1.15%
-0.21% -0.21%
1.41% 1.41%
-0.32% -0.32%
-1.56% -1.56%
-0.13% -0.13%
0.08% 0.08%
1.02% 1.02%
-0.20% -0.20%
-0.04% -0.04%
1.52% 1.52%
1.52% 1.52%
-0.01% -0.01%
-0.38% -0.38%
-0.34% -0.34%
1.10% 1.10%
-0.55% -0.55%
-0.21% -0.21%
0.00% 0.00%

Var 0.000065
Nombre de la empresa ALSEA
Fecha 9/30/2021

ALSEA
Análisis Z-Score
30/09/2021

Inputs Monto en $
Activos Corrientes 8,849,791.00
Activos Totales 84,077,435.00
Pasivos Corrientes 21,650,433.00
Pasivos Totales 76,004,536.00
Utilidades Retenidas 1,652,572.00
Valor de mercado de la empresa 150,000.00
Ventas Netas 5,197,777.00
Gastos Financieros 885,792.00
Impuestos 461,065.00
Ingresos Netos 5,197,777.00

El valor Z-Score, basado en los datos financieros de diciembre 31, YYYY es

0.16

Parámetros
Compañía saludable Z>3
Seguridad Relativa 2.7<Z<2.99
Potencialmente en Quiebra 1.88 < Z <2.7
Prácticamente en quiebra Z < 1.81
T1 - 0.15
T2 0.019655357
T3 0.08
T4 0.0019735664
T5 0.0618213079

T1=Capital de Trabajo/activos Totales

 Date Price Open High Low Vol. Change %
9/30/2021 41.55 40.29 41.63 40.23 1.89M 0.0377
9/29/2021 40.04 40.84 41.15 39.98 1.68M -0.0165
9/28/2021 40.71 41.7 41.7 40.5 2.89M -0.0244
9/27/2021 41.73 41.14 42.42 41.14 2.38M 0.0146
9/26/2021 41.13 41.49 41.49 40.84 2.28M -0.0039
9/25/2021 41.29 40.51 41.59 39.71 3.26M 0.0299
9/24/2021 40.09 41.06 41.1 39.81 5.30M -0.0205
9/23/2021 40.93 42.12 42.12 40.63 3.46M -0.0285
9/22/2021 42.13 44.51 45 42 3.28M -0.0581
9/21/2021 44.73 40.26 44.93 40.26 6.71M 0.1408
9/20/2021 39.21 38.85 39.4 38.18 1.73M 0.0069
9/19/2021 38.94 37.89 39 37.8 2.35M 0.0307
9/18/2021 37.78 37.21 37.96 36.8 1.71M 0.011
9/17/2021 37.37 36.95 37.59 36.58 2.46M 0.0163
9/16/2021 36.77 36.4 37.32 36.4 1.97M 0.0152
9/15/2021 36.22 36.45 36.97 35.9 1.57M -0.0039
9/14/2021 36.36 35.97 36.99 35.72 1.57M 0.0151
9/13/2021 35.82 35.8 36.69 35.46 2.49M 0.0006
9/12/2021 35.8 36.23 36.76 35.51 2.26M -0.0108
9/11/2021 36.19 36.92 37.05 36.1 1.57M -0.0219
9/10/2021 37 37.66 37.88 36.8 2.06M -0.0136
9/9/2021 37.51 37.31 37.9 36.85 1.42M 0.0037
 Date Price Open High Low Vol. Change %
9/30/2021 130.83 130.19 131.6 129.71 1.28M 0.0099
9/29/2021 129.55 130.83 130.84 128.62 1.79M -0.0074
9/28/2021 130.52 130 131.95 128.98 1.78M 0.0061
9/27/2021 129.73 130.56 134.5 129.24 2.68M -0.0107
9/26/2021 131.13 136.01 137.39 130.58 4.50M -0.0345
9/25/2021 135.81 137.99 137.99 135.26 5.44M -0.0055
9/24/2021 136.56 136.96 137.55 135.75 7.01M -0.004
9/23/2021 137.11 136.9 138.31 136 2.38M 0.0006
9/22/2021 137.03 135.03 137.4 134.39 3.49M 0.015
9/21/2021 135 134.55 135.48 134.11 6.21M -0.0004
9/20/2021 135.06 133.52 135.49 132.6 4.70M 0.0079
9/19/2021 134 136.2 136.2 132.19 3.75M -0.0178
9/18/2021 136.43 137.53 138.5 135.56 2.03M -0.0031
9/17/2021 136.86 134.81 137.2 134.02 2.46M 0.0151
9/16/2021 134.83 130.7 135.5 130.11 3.97M 0.0366
9/15/2021 130.07 131.01 131.01 129.52 2.31M -0.0057
9/14/2021 130.81 130.49 131.04 128.8 2.29M 0.0065
9/13/2021 129.96 130.3 130.59 127.61 4.00M -0.0051
9/12/2021 130.62 131.01 132.74 130.22 2.74M 0.0024
9/11/2021 130.31 130.8 131.84 129.8 4.51M -0.0079
9/10/2021 131.35 133.43 134.43 131.03 2.92M -0.0087
9/9/2021 132.5 133.3 134.29 131 2.43M -0.0081
 Date Price Open High Low Vol. Change %
9/30/2021 14.06 14.21 14.31 14 19.43M -0.0057
9/29/2021 14.14 14.2 14.27 14.05 14.69M -0.0021
9/28/2021 14.17 14.03 14.21 13.95 22.52M 0.0121
9/27/2021 14 14.01 14.34 13.94 32.56M -0.0043
9/26/2021 14.06 14.26 14.33 14.01 39.21M -0.0078
9/25/2021 14.17 14.13 14.31 14.04 31.58M 0.0129
9/24/2021 13.99 14.24 14.24 13.86 62.38M -0.0106
9/23/2021 14.14 14.24 14.34 14.11 19.51M -0.0119
9/22/2021 14.31 14.42 14.5 14.28 33.66M -0.0083
9/21/2021 14.43 14.54 14.61 14.34 35.11M -0.0069
9/20/2021 14.53 14.61 14.61 14.42 30.31M -0.0075
9/19/2021 14.64 15.05 15.08 14.59 22.63M -0.033
9/18/2021 15.14 15.22 15.23 15.02 30.83M -0.0039
9/17/2021 15.2 15.1 15.25 14.98 28.07M 0.0093
9/16/2021 15.06 14.78 15.15 14.78 34.88M 0.0189
9/15/2021 14.78 14.38 14.81 14.38 25.55M 0.03
9/14/2021 14.35 14.6 14.64 14.21 23.84M -0.0151
9/13/2021 14.57 14.69 14.7 14.5 34.41M -0.0189
9/12/2021 14.85 14.45 14.9 14.36 64.36M 0.0554
9/11/2021 14.07 14.04 14.21 13.7 57.39M 0.0021
9/10/2021 14.04 14.13 14.33 13.99 35.93M 0.0007
9/9/2021 14.03 14.05 14.14 13.9 20.18M -0.0007
 Date Price Open High Low Vol. Change %
9/30/2021 19.87 20.25 20.37 19.63 1.08M -0.0178
9/29/2021 20.23 20.41 20.56 20.01 1.13M -0.0074
9/28/2021 20.38 20.96 20.98 20.31 1.34M -0.0277
9/27/2021 20.96 20.51 21.04 20.2 2.91M 0.0269
9/26/2021 20.41 20.89 21.05 20.05 3.85M -0.0192
9/25/2021 20.81 21.7 21.7 20.77 1.56M -0.0392
9/24/2021 21.66 22.49 22.49 21.61 2.91M -0.0278
9/23/2021 22.28 22.63 22.63 22.14 1.14M -0.0155
9/22/2021 22.63 22.48 22.72 22.35 882.84K 0.0103
9/21/2021 22.4 22.32 22.46 22.02 1.21M 0.0031
9/20/2021 22.33 22 22.48 21.86 1.13M 0.0036
9/19/2021 22.25 22.62 22.76 22.15 1.93M -0.0271
9/18/2021 22.87 22.69 23.17 22.11 2.68M 0.0097
9/17/2021 22.65 21.15 22.79 21.15 2.61M 0.0649
9/16/2021 21.27 21.06 21.38 20.95 2.87M 0.0119
9/15/2021 21.02 21.04 21.1 20.72 2.36M -0.001
9/14/2021 21.04 20.84 21.26 20.71 4.77M 0.0038
9/13/2021 20.96 20.93 21.06 20.52 1.63M -0.001
9/12/2021 20.98 21.3 21.43 20.87 1.42M -0.0076
9/11/2021 21.14 21.18 21.34 20.94 2.57M -0.0131
9/10/2021 21.42 21.75 21.99 21.35 2.30M -0.0152
9/9/2021 21.75 22.2 22.22 21.06 3.42M -0.0203
 Date Price Open High Low Vol. Change %
9/30/2021 38289.76 38098.12 38432 38043.91 92.17M 0.0072
9/29/2021 38016.06 38031 38104.03 37770.9 87.93M 0.0005
9/28/2021 37998.34 37982.06 38197.65 37722.19 122.77M 0.0025
9/27/2021 37901.96 37433.47 38339.18 37433.47 146.01M 0.0116
9/26/2021 37466.95 37611.64 37746.41 37374.36 181.95M -0.0021
9/25/2021 37546.72 37359.03 37735.87 37196.79 154.91M 0.0142
9/24/2021 37019.68 37255.8 37256.77 36667.5 274.99M -0.0032
9/23/2021 37136.78 37573.48 37636.79 36975.78 101.24M -0.0155
9/22/2021 37720.84 37794.7 37807.34 37381.65 159.54M -0.0013
9/21/2021 37771.21 37685.51 37852.54 37573.58 143.41M 0.0008
9/20/2021 37742.14 37390.23 37801.41 37191.97 160.80M 0.0103
9/19/2021 37357.46 37454.02 37455.84 37045.33 107.84M -0.002
9/18/2021 37433.3 37564.96 37625.47 37244.49 111.33M -0.0004
9/17/2021 37447.1 36872.23 37498.33 36867.29 111.88M 0.0153
9/16/2021 36881.67 36378.78 37027.67 36378.78 159.58M 0.0154
9/15/2021 36323.69 36316.6 36398.27 36195.63 104.59M -0.0001
9/14/2021 36327.84 36553.71 36589.06 36172.99 120.83M -0.0038
9/13/2021 36465.67 36517.26 36533.56 36193.72 163.89M -0.0034
9/12/2021 36590.26 36427.84 36717.53 36427.84 194.17M 0.011
9/11/2021 36190.91 36365.77 36365.77 35883.47 166.78M -0.0055
9/10/2021 36389.39 36602.77 36939.69 36321.59 150.41M -0.0021
9/9/2021 36465.46 36777.77 36777.77 36263.97 105.15M -0.009