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Hedging Alternatives for the Mortgage Stabilization Fund (FRENCH): 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 derivative 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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File URL: http://www.banrep.gov.co/docum/ftp/borra265.pdf
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Publisher Info
Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002786.

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Length: 11
Date of creation: 30 Dec 2003
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Handle: RePEc:col:000094:002786

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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)
  2. 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)
  3. 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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