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Ítem Working Capital Exposure: A Methodology to Control Economic Performance in Production Environment Projects(Production and Operations Management Society, 2010-05-07) Rivera Cadavid, LeonardoThis paper evaluates the performance of 16 different parametric, nonparametric and one semi-parametric specifications to calculate the Value at Risk (VaR) for the Colombian Exchange Market Index (IGBC). Using high frequency data (10-minute returns), we model the variance of the returns using GARCH and TGARCH models, that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions regarding returns’ behavior: Normal distribution and t distribution. This exercise is performed using two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a TGARCH(1,1) without day-of the week or hour-of-the-day effects. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH(1,1) with the day-of-the-week effect, and the hour-of-the-day effect. Both methods perform better under the t distribution assumption
Ítem Activity scheduling for Cost-Time investment optimization in project management(2008-05-17) Rivera Cadavid, LeonardoThe Cost-Time Profile is a tool that presents the combined impact of disbursements made during the execution of a project, and their timing. The Cost-Time Profile chart presents the accumulated cost at any given time, and the area under the curve is the Cost-Time Investment. This Cost-Time Investment has a quantifiable impact on the working capital the company uses, and it is also useful for the determination of the Direct Cost of a product. This paper aims to develop a model to create the schedule of activities that minimizes the Cost-Time Investment for a project.Ítem Measuring the impact of Lean tools on the cost–time investment of a product using cost–time profiles(Pergamon Press, Inc, 2007-12-01) Rivera Cadavid, LeonardoTraditional costing systems consider the accumulation of costs, but not their timing. Value stream mapping presents a good picture of the time consumed and operations performed for the production of a product within a manufacturing facility, but it does not track the accumulation of costs. The cost–time profile (CTP) is a tool that follows the accumulation of cost in the manufacturing of a product through time; and it finds the cost–time investment (CTI), which is an indicator of the use of resources in the manufacturing of a product through quantities and timing. In this paper, the expected impact of Lean implementations on the CTP and CTI is discussed. The CTP is proposed as a useful tool for the evaluation of the improvements achieved by the implementation of Lean tools and techniques.