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Alejandro Reveiz

Personal Details

First Name:Alejandro
Middle Name:
Last Name:Reveiz
Suffix:
RePEc Short-ID:pre60

Affiliation

(90%) World Bank Group

Washington, District of Columbia (United States)
http://www.worldbank.org/

: (202) 477-1234

1818 H Street, N.W., Washington, DC 20433
RePEc:edi:wrldbus (more details at EDIRC)

(10%) Facultad de Economía
Universidad del Rosario

Santa Fe de Bogotá, Colombia
http://www.urosario.edu.co/facultad-economia/inicio/

:


RePEc:edi:ferosco (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Carlos León & Karen Leiton & Alejandro Reveiz, 2012. "Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence," BORRADORES DE ECONOMIA 009909, BANCO DE LA REPÚBLICA.
  2. Carlos Leóm & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 648, Banco de la Republica de Colombia.
  3. Carlos León & Alejandro Reveiz, 2010. "Portfolio Optimization and Long-Term Dependence," Borradores de Economia 622, Banco de la Republica de Colombia.
  4. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel Piraquive, 2009. "Modelo de simulación del valor de la pensión de un trabajador en Colombia," BORRADORES DE ECONOMIA 005387, BANCO DE LA REPÚBLICA.
  5. Alejandro Reveiz & Carlos Léon, 2009. "Operational Risk Management using a Fuzzy Logic Inference System," BORRADORES DE ECONOMIA 005841, BANCO DE LA REPÚBLICA.
  6. Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.
  7. Alejandro Reveiz & Carlos Eduardo León Rincón, 2008. "Índice representativo del mercado de deuda pública interna: IDXTES," Borradores de Economia 488, Banco de la Republica de Colombia.
  8. Alejandro Revéiz Herault & Sebastian Rojas, 2008. "The case for active management from the perspective of Complexity Theory," Borradores de Economia 495, Banco de la Republica de Colombia.
  9. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," BORRADORES DE ECONOMIA 004599, BANCO DE LA REPÚBLICA.
  10. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA.
  11. Carlos Eduardo León Rincón & Alejandro Reveiz, 2008. "La dolarización financiera: Experiencia internacional y perspectivas para Colombia," Borradores de Economia 482, Banco de la Republica de Colombia.
  12. Alejandro Reveiz Herault, 2008. "Artificial Markets under a Complexity Perspective," BORRADORES DE ECONOMIA 004616, BANCO DE LA REPÚBLICA.
  13. Alejandro Reveiz & Carlos León, 2008. "Administración de fondos de pensiones y multifondos en Colombia," BORRADORES DE ECONOMIA 004598, BANCO DE LA REPÚBLICA.
  14. Alejandro Reveiz, 2004. "The Case for Macro Risk Budgeting and Portfolio Tranching in Reserves Management," Borradores de Economia 290, Banco de la Republica de Colombia.
  15. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz, 2002. "La Curva Spot (Cero Cupón) Estimation con Splines Cúbicos Suavizados, Usos y Ejemplos," Borradores de Economia 213, Banco de la Republica de Colombia.
  16. Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," LECTURAS EN FINANZAS 002710, BANCO DE LA REPÚBLICA.
  17. Alejandro Revéiz Hérault & Roberto de Beaufort & David Merchán, 2002. "Títulos hipotecarios de los Estados Unidos:Estudios de las características del mercado e instrumentos," LECTURAS EN FINANZAS 003646, BANCO DE LA REPÚBLICA.
  18. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz Hérault, 2002. "La curva Spot (Cero Cupón)," LECTURAS EN FINANZAS 002960, BANCO DE LA REPÚBLICA.

Articles

  1. Peter Sarlin & Alejandro Reveiz‐Herault, 2016. "An Active Asset Management Investment Process for Drawdown‐Averse Investors," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 85-96, January.
  2. Reveiz, Alejandro & Carlos, Leon, 2010. "Operational Risk Management Using a Fuzzy Logic Inference System," Journal of Financial Transformation, Capco Institute, vol. 30, pages 141-153.
  3. Carlos E. León Rincón & Alejandro Revéiz Herault, 2008. "La dolarización financiera: experiencia internacional y perspectivas para Colombia," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 10(18), pages 313-341, January-J.
  4. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 26(56), pages 78-113, June.
  5. Alejandro Revéis, 2002. "Evolution of the Colombia peso, within the currency bands, nonlinearity analysis and stochastic modelling," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
  6. Brooks, Chris & Reveiz, Alejandro H., 2002. "A model for exchange rates with crawling bands--an application to the Colombian peso," Journal of Economics and Business, Elsevier, vol. 54(5), pages 483-503.

Chapters

  1. Carlos León & Alejandro Reveiz, 2011. "Portfolio optimization and long-term dependence," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 85-110 Bank for International Settlements.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Carlos Eduardo León Rincón & Alejandro Reveiz, 2008. "La dolarización financiera: Experiencia internacional y perspectivas para Colombia," Borradores de Economia 482, Banco de la Republica de Colombia.

    Mentioned in:

    1. ¿Debe Argentina copiar al sistema monetario y bancario de Panamá?
      by Adrián Ravier in Punto de Vista Economico on 2012-06-14 01:34:36
    2. ¿Debe Colombia copiar al sistema monetario y bancario de Panamá?
      by Adrián Ravier in Punto de Vista Economico on 2012-07-11 22:16:55

Working papers

  1. Carlos León & Karen Leiton & Alejandro Reveiz, 2012. "Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence," BORRADORES DE ECONOMIA 009909, BANCO DE LA REPÚBLICA.

    Cited by:

    1. León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014. "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 407-420.
    2. Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," BORRADORES DE ECONOMIA 010075, BANCO DE LA REPÚBLICA.

  2. Carlos Leóm & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia 648, Banco de la Republica de Colombia.

    Cited by:

    1. Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," BORRADORES DE ECONOMIA 010075, BANCO DE LA REPÚBLICA.
    2. Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.

  3. Carlos León & Alejandro Reveiz, 2010. "Portfolio Optimization and Long-Term Dependence," Borradores de Economia 622, Banco de la Republica de Colombia.

    Cited by:

    1. Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015. "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia 899, Banco de la Republica de Colombia.

  4. Alejandro Reveiz & Carlos León & Freddy H. Castro & Gabriel Piraquive, 2009. "Modelo de simulación del valor de la pensión de un trabajador en Colombia," BORRADORES DE ECONOMIA 005387, BANCO DE LA REPÚBLICA.

    Cited by:

    1. Mauricio Arias & Juan Carlos Mendoza, 2009. "Un modelo de simulación del Régimen Pensional de Ahorro Individual con Solidaridad en Colombia," Temas de Estabilidad Financiera 044, Banco de la Republica de Colombia.
    2. Carlos Alberto Soto Quintero & Alejandra Arboleda Bedoya & Juan Carlos Gutiérrez Betancur, 2012. "Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos," DOCUMENTOS DE TRABAJO CIEF 010713, UNIVERSIDAD EAFIT.
    3. María Angélica Arbeláez & Jorge Humberto Botero & Alejandra González & Camila Salamanca, 2011. "Sostenibilidad del seguro previsional en Colombia," WORKING PAPERS SERIES. DOCUMENTOS DE TRABAJO 009066, FEDESARROLLO.

  5. Alejandro Reveiz & Carlos Léon, 2009. "Operational Risk Management using a Fuzzy Logic Inference System," BORRADORES DE ECONOMIA 005841, BANCO DE LA REPÚBLICA.

    Cited by:

    1. Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," BORRADORES DE ECONOMIA 011105, BANCO DE LA REPÚBLICA.
    2. Peter Sarlin & Carlos León & Clara Machado & Andrés Murcia, 2016. "Assessing Systemic Importance With a Fuzzy Logic Inference System," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 121-153, January.

  6. Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.

    Cited by:

    1. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications, The World Bank, number 2462.
    2. Manuel García-Huitrón & Gregorio Impavido & Esperanza Lasagabaster, 2010. "New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products," IDB Publications (Books), Inter-American Development Bank, number 365, July.

  7. Alejandro Reveiz & Carlos Eduardo León Rincón, 2008. "Índice representativo del mercado de deuda pública interna: IDXTES," Borradores de Economia 488, Banco de la Republica de Colombia.

    Cited by:

    1. Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
    2. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    3. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    4. Mauricio Arias & Juan Carlos Mendoza & David Perez-Reyna, 2011. "Applying CoVaR to measure systemic market risk: the Colombian case," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 351-364 Bank for International Settlements.
    5. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    6. Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
    7. Esteban Gómez & Juan Carlos Mendoza & Nancy Zamudio Gómez, 2012. "CrashMetrics: An Application for Colombia," Temas de Estabilidad Financiera 069, Banco de la Republica de Colombia.
    8. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  8. Alejandro Revéiz Herault & Sebastian Rojas, 2008. "The case for active management from the perspective of Complexity Theory," Borradores de Economia 495, Banco de la Republica de Colombia.

    Cited by:

    1. Alejandro Reveiz Herault, 2008. "The Factor-Portfolios Approach to Asset Management using Genetic Algorithms," BORRADORES DE ECONOMIA 004626, BANCO DE LA REPÚBLICA.
    2. Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.

  9. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," BORRADORES DE ECONOMIA 004599, BANCO DE LA REPÚBLICA.

    Cited by:

    1. Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.
    2. Javier Alonso & Carlos Herrera & Claudia Llanes Valenzuela & David Tuesta, 2010. "Simulations of long-term returns and replacement rates in the Colombian pension system," Working Papers 1029, BBVA Bank, Economic Research Department.

  10. Carlos Eduardo León Rincón & Alejandro Reveiz, 2008. "La dolarización financiera: Experiencia internacional y perspectivas para Colombia," Borradores de Economia 482, Banco de la Republica de Colombia.

    Cited by:

    1. Lya Paola Sierra Suárez & Diana Maribel Lozano Baquero, 2010. "¿Qué sabemos sobre la Dolarización y sus efectos en las Economías Latinoamericanas que la adoptaron?," REVISTA FACULTAD DE CIENCIAS ECONÓMICAS, UNIVERSIDAD MILITAR NUEVA GRANADA, June.
    2. Tobal Martín, 2017. "Currency Mismatch in the Banking Sector in Latin America and the Caribbean," Working Papers 2017-05, Banco de México.
    3. Martín Tobal, 2013. "Currency Mismatch: New Database and Indicators for Latin America and the Caribbean," Documentos de Investigación - Research Papers 12, Centro de Estudios Monetarios Latinoamericanos, CEMLA.

  11. Alejandro Reveiz & Carlos León, 2008. "Administración de fondos de pensiones y multifondos en Colombia," BORRADORES DE ECONOMIA 004598, BANCO DE LA REPÚBLICA.

    Cited by:

    1. Alejandro Reveiz & Carlos León, 2008. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia 520, Banco de la Republica de Colombia.
    2. Carlos León & Juan Mario Laserna, 2008. "Asignación Estratégica de Activos para Fondos de Pensiones Obligatorias en Colombia: Un Enfoque Alternativo," BORRADORES DE ECONOMIA 004970, BANCO DE LA REPÚBLICA.
    3. Carlos Alberto Soto Quintero & Alejandra Arboleda Bedoya & Juan Carlos Gutiérrez Betancur, 2012. "Trayectorias óptimas de inversión durante el ciclo de vida en un sistema de multifondos," DOCUMENTOS DE TRABAJO CIEF 010713, UNIVERSIDAD EAFIT.
    4. Javier Alonso & Carlos Herrera & Claudia Llanes Valenzuela & David Tuesta, 2010. "Simulations of long-term returns and replacement rates in the Colombian pension system," Working Papers 1029, BBVA Bank, Economic Research Department.

  12. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz, 2002. "La Curva Spot (Cero Cupón) Estimation con Splines Cúbicos Suavizados, Usos y Ejemplos," Borradores de Economia 213, Banco de la Republica de Colombia.

    Cited by:

    1. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, November.
    2. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
    3. Chamorro-Gómez, José Augusto & Domínguez-Blancas, Christian Said & García-Morales, María Isabel, 2017. "El financiamiento de la banca comercial y el mercado de capitales: su relación con la desigualdad en la distribución del ingreso en México," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 12(24), pages 115-144, Primer se.
    4. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, July.

  13. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz Hérault, 2002. "La curva Spot (Cero Cupón)," LECTURAS EN FINANZAS 002960, BANCO DE LA REPÚBLICA.

    Cited by:

    1. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.

Articles

  1. Reveiz, Alejandro & Carlos, Leon, 2010. "Operational Risk Management Using a Fuzzy Logic Inference System," Journal of Financial Transformation, Capco Institute, vol. 30, pages 141-153.
    See citations under working paper version above.
  2. Carlos E. León Rincón & Alejandro Revéiz Herault, 2008. "La dolarización financiera: experiencia internacional y perspectivas para Colombia," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 10(18), pages 313-341, January-J.
    See citations under working paper version above.
  3. Alejandro Reveiz & Carlos León & Juan Mario Laserna & Ivonne Martínez, 2008. "Recomendaciones para la modificación del régimen de pensiones obligatorias de Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 26(56), pages 78-113, June.
    See citations under working paper version above.
  4. Brooks, Chris & Reveiz, Alejandro H., 2002. "A model for exchange rates with crawling bands--an application to the Colombian peso," Journal of Economics and Business, Elsevier, vol. 54(5), pages 483-503.

    Cited by:

    1. Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
    2. Alejandro Reveiz Herault, 2008. "Artificial Markets under a Complexity Perspective," BORRADORES DE ECONOMIA 004616, BANCO DE LA REPÚBLICA.

Chapters

  1. Carlos León & Alejandro Reveiz, 2011. "Portfolio optimization and long-term dependence," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 85-110 Bank for International Settlements.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (5) 2003-04-02 2008-06-27 2009-09-26 2011-04-16 2012-09-03. Author is listed
  2. NEP-CMP: Computational Economics (3) 2008-04-29 2009-09-26 2011-04-16
  3. NEP-ECM: Econometrics (2) 2011-04-16 2012-09-03
  4. NEP-FMK: Financial Markets (2) 2003-04-02 2012-09-03
  5. NEP-MST: Market Microstructure (2) 2008-04-29 2008-04-29
  6. NEP-CBE: Cognitive & Behavioural Economics (1) 2008-04-29
  7. NEP-CFN: Corporate Finance (1) 2012-09-03
  8. NEP-ETS: Econometric Time Series (1) 2011-04-16
  9. NEP-IFN: International Finance (1) 2004-06-13
  10. NEP-LAM: Central & South America (1) 2008-02-23
  11. NEP-MAC: Macroeconomics (1) 2004-06-13
  12. NEP-ORE: Operations Research (1) 2011-04-16

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