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Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos

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Alejandro Revéiz Hérault

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Abstract

El objeto de este documento es examinar los factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos. Estos márgenes son siempre positivos, difieren para distintas calificaciones crediticias y están determinados en su mayoría por la pérdida esperada por incumplimiento, un premio impositivo y un premio de riesgo sistémico no diversificable. De existir opcionalidades implícitas en los títulos, el valor de la esta opción también hace parte del márgen. En la primera parte se examinan las características de los instrumentos de riesgo crediticio, haciendo énfasis en sus características de riesgo y sus diferencias con los títulos del gobierno. La segunda sección presenta las conclusiones del análisis estadístico de las series de los índices de títulos de gobierno de los Estados Unidos y las series, desagregadas por calidad crediticia, de los bonos corporativos. Adicionalmente, las limitaciones de dichas series como fuente de información para determinar la conveniencia de invertir en títulos de riesgo crediticio es analizada, así como metodologías para resolver estas limitaciones. La tercera sección resume la literatura relevante al tema de riesgo crediticio, en particular los estudios comparativos de los spreads de tasa de interés de los títulos corporativos con las tasas de interés de los títulos del Tesoro, los cambios en la calidad crediticia de los emisores y/o títulos y el papel que pueden desempeñar dichos títulos en un portafolio global. La última sección presenta un análisis final resumiendo de las consideraciones que deben hacerse al decidir incluir bonos corporativos en un portafolio, así como sus implicaciones.

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Paper provided by Banco de la Republica de Colombia in its series Lecturas en Finanzas with number 002710.

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Handle: RePEc:bdr:lectur:002710

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  4. Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July. [Downloadable!] (restricted)
  5. Pierre Collin-Dufresne, 2001. "On the Term Structure of Default Premia in the Swap and LIBOR Markets," Journal of Finance, American Finance Association, vol. 56(3), pages 1095-1115, 06. [Downloadable!] (restricted)
  6. Charles S. Morris & Robert Neal & Douglas Rolph, 1998. "Credit spreads and interest rates : a cointegration approach," Research Working Paper 98-08, Federal Reserve Bank of Kansas City. [Downloadable!]
  7. Jun Liu & Francis Longstaff & Ravit Mandell, 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management 1076, Anderson Graduate School of Management, UCLA. [Downloadable!]
  8. Saikat Nandi, 1998. "Valuation models for default-risky securities: An overview," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 22-35. [Downloadable!]
  9. Chang, Eric C. & Huang, Roger D., 1990. "Time-Varying Return and Risk in the Corporate Bond Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 323-340, September. [Downloadable!]
  10. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
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  12. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March. [Downloadable!] (restricted)
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