An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and live below their means. For retirees to decide on the appropriate withdrawal rate, retirees need to have the tools available to decide on their spending rates. There are many factors that influence withdrawal rates, such as initial wealth, asset allocations, age, life expectancy, and risk tolerances. The topic of safe withdrawal rates aims to optimise spending rates while minimising the risk of running out of retirement savings. The focus of this study was on using forward-looking moments of the risk-neutral and real-world asset distributions in determining safe withdrawal rates for South African retirees. The use of forward-looking information, typically derived from traded derivative securities (rather than historical data), is essential in optimising safe withdrawal rates for retirees. In particular, we extracted the forward-looking risk-neutral and real-world distributions from option prices on the South African Top 40 index, and used the moments of the distributions as a signal in a simple tactical asset allocation framework. That is, when we expect the growth asset to decrease in value, we hold cash (or short the asset) and, alternatively, when we expect the growth asset to increase in value, we hold the growth asset for the period. Using this approach, we found that we can sustain withdrawal rates of up to 7% compared to the commonly quoted 4% safe withdrawal rate obtained by historical simulations. SIGNIFICANCE: • Through this paper, we aim to create further awareness on safe retirement spending rates. It is important that retirees are guided through this process with the correct knowledge of the risk and return of asset classes. • Using forward-looking information allows for a more realistic modelling of portfolio returns, which allows for the possibility of better modelling of safe withdrawal rates. • We show that using the moments of the forward-looking distributions in a simple tactical asset allocation framework yielded superior portfolio returns to a fixed asset allocation structure.

La gestión de las empresas viene acompañada cada día de mayores riesgos; uno de estos riesgos es el de mercado, inherente a un posible cambio en las variables del mercado pues modifica el valor de un activo; este riesgo se puede reducir con herramientas como los derivados financieros. Los derivados financieros representan uno de los grandes avances de la economía financiera, debido a que permiten asegurar precios futuros en aquellos mercados que presentan volatilidad y neutralizar los riesgos de las variaciones en los precios. Teniendo en cuenta estos beneficios, las empresas han incrementado el uso de estos productos en busca de neutralizar ese riesgo. A partir de la Ley 1314 de 2009, Colombia emprende la regulación contable en busca de la convergencia con la normativa contable internacional, que incluye un registro inicial y posterior de los instrumentos financieros; por tanto, se hace necesario profundizar sobre el registro contable de los derivados financieros como instrumento financiero a partir de la normativa internacional. Este documento busca describir desde el punto de vista de la normativa contable internacional la práctica contable del derivado financiero forward sobre divisas a la luz de la normativa internacional.

Every day company management comes with increased risks. One of these is the market risk, inherent to a possible change in the market variables since it changes the value of an asset. This risk may be reduced with tools such as the financial derivatives. Financial derivatives account for one of the great advancements of financial economy because they allow ensuring future prices on those markets that show volatility and counteracting the risk of price variation. With these benefits in mind, companies have increased the use of these products, aiming to counteract this risk. Starting with Law 1314, 2009, Colombia undertakes accounting adjustments aiming at achieving convergence with the international accounting standards, which includes an initial and subsequent record of the financial instruments. Thus, it is necessary to gain deeper insight into the accounting record of the financial derivatives as a financial instrument, from international standards. The aim of this document is to describe, from the point of view of the international accounting standards, the accounting practice of the forward financial derivative on foreign currency, in the light of the international standards.

A gestão das empresas vem acompanhada de maiores riscos a cada dia; um desses riscos é o de mercado, inerente a uma possível mudança das variáveis de mercado pois modifica o valor de um ativo; este risco pode se reduzir com ferramentas tais como os derivados financeiros. Os derivados financeiros representam um dos grandes avanços da economia financeira pois permitem assegurar preços futuros em aqueles mercados que apresentam volatilidade e neutralizar os riscos das variações nos preços. Levando em conta estas vantagens, as empresas incrementaram o uso destes produtos visando neutralizar tal risco. A partir da Lei 1314 de 2009, a Colômbia empreende a regulamentação da Contabilidade na busca da convergência com a normativa contábil internacional que inclui registro inicial e posterior dos instrumentos financeiros; portanto, faz-se necessário aprofundar sobre o registro contábil dos derivados financeiros como instrumento financeiro a partir da normativa internacional. Este documento tem como objetivo descrever, desde o ponto de vista da normativa internacional da Contabilidade, a prática contábil do derivado financeiro forward sobre moeda estrangeira à luz da normativa internacional.

Este artículo presenta un modelo de valoración de Credit Default Swaps (CDS) sobre bonos corporativos colombianos con base en modelos de riesgo crediticio de forma reducida y el método de simulación de Monte Carlo donde el activo subyacente sigue un proceso estocástico Stopped Poisson. Este modelo es una alternativa interesante para la valoración de CDS en países donde el mercado de bonos corporativos presenta baja liquidez y el mercado de derivados de crédito es incipiente o inexistente, como el caso de Colombia. En su aplicación se obtienen muy buenos resultados para CDS sobre títulos en grado de inversión aunque tiende a sobrevalorar las primas para aquellos títulos que se encuentran en el último nivel de grado de especulación. Por otro lado, se concluye que la sensibilidad de las primas de los CDS es alta respecto a la tasa de ocurrencia del evento de crédito y baja respecto a la tasa de recuperación y a la tasa de interés. Estos resultados confirman aquellos obtenidos en otros estudios empíricos realizados en países con un mercado de derivados de crédito desarrollado.

This article presents a Credit Default Swap (CDS) assessment model for Colombian corporate bonds, based on reduced credit risk models and on the Monte Carlo simulation method where the underlying asset follows a stochastic Stopped Poisson process. This model is an interesting alternative for CDS assessment in countries where the corporate bond market shows low liquidity and the credit derivative market is incipient or does not exist, which is the case in Colombia. Applying this model leads to good results for CDS for investment-grade securities although it tends to overestimate the premiums on securities in the last level of degree of speculation. Furthermore, the conclusion is drawn that the sensitivity of the CDS premiums is high regarding the credit event occurrence rate and low regarding the recovery rate and the interest rate. Such results confirm those obtained from other empirical studies conducted in countries with a developed credit derivate market.

Este artigo desenvolve uma nova teoria de precificação de títulos derivativos, implementando-a para a situação particular de opções de compra européias de ações sem dividendos a partir da premissa básica de que o drift do ativo subjacente desempenha papel relevante no processo de precificação, no contexto dos fenômenos de transporte. É feita uma confrontação sistemática com os bem-conhecidos modelos Black-Scholes e Ornstein-Uhlenbeck bivariado que mostra a plausibilidade e efetividade desta abordagem.

This paper develops a new theory of derivative securities pricing and implementes it for the specific case of European call options on a hypothetical non-dividend-paying stock. The basic premise is that the drift of the underlying asset plays a very important role in the pricing process, in the context of transport phenomena. A systematic confrontation to well-known Black-Scholes and bivariate trending Ornstein-Uhlenbeck models is also carried out, providing plausibility and effectiveness for this approach.