Cobertura de flujos financieros con instrumentos de renta fija
In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model...
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| Formato: | Online |
| Idioma: | espanhol |
| Editor: |
El Colegio de México, A.C.
2002
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| Acesso em linha: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195 |
| Recursos: |
Estudios Económicos |
| authentication_code | dc |
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| _version_ | 1844256677911592960 |
| author | Venegas Martínez, Francisco |
| author_facet | Venegas Martínez, Francisco |
| author_sort | Venegas Martínez, Francisco |
| category_str_mv |
"Bolivia", "hyperinflation", "economic crisis", "Bolivia", "hiperinflación", "crisis económica"
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| collection | OJS |
| description | In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model stresses the concepts of money duration and money convexity in interest-rate risk management. An application is addressed, by way of illustration, to generate hedging strategies with zero coupon bonds when the term structure of the interest rate is driven by the Vasicek’s (1977) model. |
| format | Online |
| id | oai:oai.estudioseconomicos.colmex.mx:article-195 |
| index_str_mv | CONAHCYT LATINDEX PKP Index DORA Redalyc Scielo México Handbook of Latin American Studies (HLAS) JSTOR Dialnet HAPI Ulrich’s International Periodicals Directory Google Scholar IBSS Gale OneFile: Informe Académico Global Issues in Context InfoTracCustom Cengage Learning EconLit Índice bibliográfico Publindex RePEc The Journal of Economic Literature |
| journal | Estudios Económicos |
| language | spa |
| publishDate | 2002 |
| publisher | El Colegio de México, A.C. |
| record_format | ojs |
| Terms_governing_use_and_reproduction_note | Copyright (c) 2018 Estudios Económicos |
| data_source_entry/ISSN | Estudios Económicos de El Colegio de México; 34-vol. 17, no. 2, july-december, 2002; 171-192 Estudios Económicos de El Colegio de México; 34-vol. 17, núm. 2, julio-diciembre, 2002; 171-192 0186-7202 0188-6916 |
| spelling | oai:oai.estudioseconomicos.colmex.mx:article-1952023-02-20T23:42:51Z Coverage of financial flows with fixed income instruments Cobertura de flujos financieros con instrumentos de renta fija Venegas Martínez, Francisco interest rates fixed income zero coupon bonds G11 G13 tasa de interés renta fija bonos cupón cero G11 G13 In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model stresses the concepts of money duration and money convexity in interest-rate risk management. An application is addressed, by way of illustration, to generate hedging strategies with zero coupon bonds when the term structure of the interest rate is driven by the Vasicek’s (1977) model. Se desarrolla un modelo estocástico para inmunizar el valor presente de un conjunto de flujos financieros contra el riesgo de tasa de interés con instrumentos de renta fija, en particular, con bonos cupón cero. En nuestra propuesta, la dinámica de la tasa de interés es conducida por un proceso estocástico de difusión con reversión de la media. El modelo destaca los conceptos de duración y convexidad monetaria en la administración del riesgo de tasa de interés. A manera de ilustración, se generan estrategias de inmunización con bonos cupón cero cuando la estructura de plazos de la tasa de interés es conducida por el modelo de Vasicek (1977). El Colegio de México, A.C. 2002-07-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195 10.24201/ee.v17i2.195 Estudios Económicos de El Colegio de México; 34-vol. 17, no. 2, july-december, 2002; 171-192 Estudios Económicos de El Colegio de México; 34-vol. 17, núm. 2, julio-diciembre, 2002; 171-192 0186-7202 0188-6916 spa https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195/197 Copyright (c) 2018 Estudios Económicos |
| spellingShingle | interest rates fixed income zero coupon bonds G11 G13 tasa de interés renta fija bonos cupón cero G11 G13 Venegas Martínez, Francisco Cobertura de flujos financieros con instrumentos de renta fija |
| title | Cobertura de flujos financieros con instrumentos de renta fija |
| title_alt | Coverage of financial flows with fixed income instruments |
| title_full | Cobertura de flujos financieros con instrumentos de renta fija |
| title_fullStr | Cobertura de flujos financieros con instrumentos de renta fija |
| title_full_unstemmed | Cobertura de flujos financieros con instrumentos de renta fija |
| title_short | Cobertura de flujos financieros con instrumentos de renta fija |
| title_sort | cobertura de flujos financieros con instrumentos de renta fija |
| topic | interest rates fixed income zero coupon bonds G11 G13 tasa de interés renta fija bonos cupón cero G11 G13 |
| topic_facet | interest rates fixed income zero coupon bonds G11 G13 tasa de interés renta fija bonos cupón cero G11 G13 |
| url | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195 |
| work_keys_str_mv | AT venegasmartinezfrancisco coverageoffinancialflowswithfixedincomeinstruments AT venegasmartinezfrancisco coberturadeflujosfinancierosconinstrumentosderentafija |