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Hedging Alternatives for the Mortgage Stabilization Fund (FRECH) European Cap Options for the Real Interest Rate

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Author Info
Diego Vásquez ()
Camilo Zea ()

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Abstract

The World Bank has proposed an alternative hedging instrument to be offered by the FRECH, instead of the collar- swap currently available. The suggested derivate corresponds to a European Cap option for the real interest rate, which could give greater flexibility to the hedging mechanism, allowing it to be tailored for the specific needs of each Colombian Mortgage Bank (BECH). This paper finds the value of this derivative and analyses the critiques that have been made about the pricing of the collar-swap.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 265.

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Handle: RePEc:bdr:borrec:265

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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  2. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February. [Downloadable!] (restricted)
  3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
  4. Luis Eduardo Arango & Luis Fernando melo & Diego Mauricio Vásquez, . "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," Borradores de Economia 196, Banco de la Republica de Colombia. [Downloadable!]
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