Carlos Castro

Short Bio

Research

Teaching

Outside Activities

Finance

Jupyter Notebooks

Teaching

Universidad del Rosario

• Financial Economics (undergraduate), 2019-.
• Predictive Modeling (graduate) 2019-.
• Blockchain applications (continuing education) 2018-2019.
• Empirical Finance (graduate) 2017-2019.
• Investments (undergraduate) 2017, 2019.
• Financial Forecasting and Simulation (graduate) 2017-2020,2022,2023.
• Modeling the term structure of interest rates (graduate) 2016.
• Quantitative Methods in Finance (undergraduate) 2016.
• Quantitative Risk Management (graduate) 2013-2018.
• Financial Econometrics (graduate) 2013-2016.
• Financial theory in discrete time (graduate) 2013-2014.
• Introduction to Quantitive Finance (continuing education) 2012, modules: Fixed-income investment, Quantitive risk management, Market risk, Credit and counterparty risk.
• Econometrics (graduate) 2010-2015.
• Econometrics (undergraduate) 2011-2012.
• Introduction to Economics, 2011.
• Macroeconometrics, (TA), 2003.

Universidad Nacional de Colombia

• Introduction to Hyperledger Fabric, a permissioned blockchain (continuing education) 2019.

Universidad de los Andes

• Intermediate Econometrics (undergraduate) 2001-2002.

Details of student supervision

• Sebastián Vélez Hernández (MSc Quantitative Finance, 2023): “Forecasting volatility and risk using hybrid models”. Junior research and development analyst at Precia.
• Julian Ramirez (MSc in Economics, 2022): “Permissioned blockchain in a supply chain problem”. Researcher: Pre-Doctoral Harvard Business School.
• Santiago Rico (MSc in Economics, 2020): “Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach”. Associate Product Manager at Wooga.
• Laura Jimena Moreno Duarte (MSc Quantitative Finance, 2020): “Credit Risk + applied to an insurance company”. Actuarial Risk at AXA Colpatria.
• Felipe Grajales Fonnegra (MSc Quantitative Finance, 2019): “The effects of AirBnB on financial and local real estate markets”. Board Member at Ingenian Software.
• Nicolas Romero Diaz (MSc Quantitative Finance, 2019): “Empirical evidence of jump behaviour in the Colombian intraday bond market”. Analyst ALM at AXA Colpatria.
• Maykol Rodríguez (MSc in Economics, 2019): “Spectral graph theory in network formation: minimum eigenvalue” in Spanish. co-supervised with Tomas Rodríguez, Universidad de los Andes.
• Juan Felipe Peña (MSc Quantitative Finance, 2019): “A segmented Nelson and Siegel model for the term structure of interest rates”, Adv, Coordinator of advanced analytics at Experian (co-supervised with Cristhian Rodríguez, UC3).
• Jean Carlos Torres (MSc Quantitative Finance, 2019): “Expectile as an alternative risk measure and applications on factor models”, in Spanish. Risk analyst at UALET.
• Pierre Ricardo Acuña (MSc Quantitative Finance, 2019): “Forecasting The Term Structure Of Interest Rates: Macro-Economic and Co-integration Analysis For Colombia”, Risk analyst at Scotiabank Colpatria. (co-supervised with Cristihan Rodríguez, UC3).
• Catalina Cadena (MSc Quantitative Finance, 2018): “Market quality in the intraday market for the Colombian Stock Exchange” (in Spanish) Quantitative Analyst at Infovalmer.
• Daniel Guzman (MSc Quantitative Finance, 2018): “Asymmetric effects in the volatilities for the Euro swap rates” (in Spanish) Research Assistant at Inter-American Development Bank.
• Jose Bran Guevara (MSc in Economics, 2017): “Capital flows in emerging markets: the role of capital controls” (in Spanish). Professional at Fondo Latinoamericano de Reservas (FLAR).
• Sandra Fajardo (MSc Quantitative Finance, 2017): “Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds” Professional at Davivienda.
• Juan M. Muñoz (MSc Quantitative Finance, 2016): “Maximun diversification for a global fixed-income portfolio”. (in Spanish). Professional at FOGAFIN (deposit insurance corporation).
• Sergio A. Preciado (MSc Quantitative Finance, 2016): “Synthetic portfolio for event studies: Estimating the effects of volatility call auctions”. Quantitative Analyst at Infovalmer.
• Cristhian A. Rodriguez (MSc Quantitative Finance, 2016): “Estimating and Forecasting the Term Structure of Interest Rates: US and Colombia Analysis”. PhD student, Universidad Carlos III de Madrid.
• Maria A. Ceballos (MSc Quantitative Finance, 2015): “Multivariate copulas and applications in market risk” (in Spanish). Quantitative Analyst at Corpbanca.
• Carlos A. Cuadros (MSc Quantitative Finance, 2015): “Decomposing the term structure of interest rates for sovereign bonds of Colombia and the US” (in Spanish). Global Fixed Income Strategist in Credicorp Capital.
• Lina C. Vasquez (MSc Quantitative Finance, 2015): “A three factor affine term structure model for Colombia” (in Spanish). Professional at the market regulator AMV.
• Raulinso E. Solano (MSc Quantitative Finance, 2014): “Value at risk for the sovereign bond portfolio of the Colombian financial sector” (in Spanish). Professional at FOGAFIN (deposit insurance corporation).
• Jose L. Alayòn (MSc Quantitative Finance, 2014): “Portfolio selection and market risk management using the generalized hyperbolic distribution” (in Spanish). Portfolio Manager Acciones & Valores.
• Andres G. Cangrejo (MSc Quantitative Finance, 2014): “The term structure of inter-bank risk” (in Spanish). Fx trader Acciones & Valores.
• Lina Camero (MSc in Economics, 2012): “Risk adjustments in the Colombian healthcare system an application using a multilevel model” (in Spanish). Professional at the Ministry of Health.