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686. Exploring aspects of risk and sustainability in portfolio composition and Assets and Liabilities Management (ALM) for a Brazilian fintech
Invited abstract in session TA-51: Corporate finance risk management, stream Risk management in finance.
Tuesday, 8:30-10:00Room: M5 (building: 101)
Authors (first author is the speaker)
| 1. | Fernando Luiz Pereira de Oliveira
|
| Statistics, Universidade Federal de Ouro Preto | |
| 2. | Carolina Vieira
|
| Production enginnering, Universidade Federal de Ouro Preto | |
| 3. | André Robine
|
| Production enginnering, Universidade Federal de Ouro Preto | |
| 4. | Gustavo Souza
|
| Mathematics, Universidade Federal de Ouro Preto |
Abstract
This work presents a case study focusing on the importance of Assets and Liabilities Management (ALM) in a complex economic scenario, of a Brazilian fintech company with a significant cash flow of 27 billion BRL per year. Applying methods from modern portfolio theory, multivariate analysis and data mining, we identify the classifying variables that affect credit risk and liquidity for this company and demonstrate how through a data-oriented risk profile one can optimize profitability with strategies that nonetheless comply with United Nations' Sustainable Development Goals (SDGs). Specifically, we approach the adequacy of the company's ALM strategy to SDG 8 (Decent Work and Economic Growth), which is of particular importance in the Brazilian context and Latin America in general.
Keywords
- Analytics and Data Science
- Stochastic Models
- Risk Analysis and Management
Status: accepted
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