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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



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 REPÚBLICA in its series LECTURAS EN FINANZAS with number 002710.

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Length: 131
Date of creation: 31 Jan 2002
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Handle: RePEc:col:000095:002710

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