Evaluación del riesgo de liquidez mediante simulación Montecarlo en la Cooperativa de Ahorro y Crédito San Francisco Ltda. Año 2025

Abstract

Abstract: In this work, the evaluation of the liquidity risk of the Cooperativa de Ahorro y Crédito San Francisco Ltda is carried out through the application of quantitative techniques of financial análisis, the tools used were the ARIMA model for time series forecasting, Montecarlo simulation, and Tornado sensitivity analysis. The research is based on the Ecuadorian regulatory framework and empirical studies on liquidity management and risk prediction. Through the analysis of liquidity indicators defined by the Superintendency of Popular and Solidarity Economy (SEPS): General liquidity, first-line liquidity, second-line liquidity, and the minimum liquidity ratio, obtained from the cooperative's balance sheets and indicators for the period 2020 2024, were analyzed. Projections indicate that the cooperative maintains a stable liquidity position under normal conditions. However, adverse scenarios exist in which the sensitivity of current liabilities could reduce short-term liquidity levels. Montecarlo simulation confirms that the probability of reaching critical liquidity levels is low, provided adequate buffers of liquid assets are maintained.