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Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo

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Author Info

  • Bernardo González-Aréchiga

    (MexDer, Mercado Mexicano de Derivados, S.A. de C.V. México, D.F. Mexico)

  • Jaime Díaz Tinoco

    (Asigna, Compensación y Liquidación e Indeval, S.A. de C.V. México, D.F. Mexico)

  • Francisco Venegas-Martínez

    (Mathematical Finance Group, Oxford University.)

Abstract

In this paper, we develop a model to hedge cash flows denominated in dollars against both exchange-rate and interest-rate risks by means of futures contracts on US currency. The robustness of the derived strategies is assessed in terms of their value at risk. The effects of the market risk on the cash flows before and after hedging are compared in terms of: 1) costs, 2) variance, and 3) value at risk. An application to hedge cash flows on US currency is addressed by way of illustration.

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File URL: http://www.economiamexicana.cide.edu/num_anteriores/X-2/03_BERNARDO_GONZALEZ_(259-290).pdf
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Bibliographic Info

Article provided by in its journal Economia Mexicana NUEVA EPOCA.

Volume (Year): X (2001)
Issue (Month): 2 (July-December)
Pages: 259-290

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Handle: RePEc:emc:ecomex:v:10:y:2001:i:2:p:259-290

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Related research

Keywords: portfolio immunization; exchange-rate risk; futures contracts; value at risk;

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