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Márgenes con spread intraclase para el mercado mexicano de derivados


  • Díaz-Tinoco, Jaime


  • Venegas-Martínez, Francisco

    (Instituto Tecnológico y de Estudios Superiores de Monterrey. Campus Ciudad de México)


This paper provides a margin spread scheme between classes of future contracts on foreign exchange, interest rates, stocks, and stock indexes. The proposed methodology uses as a main tool the correlation between classes and/or series of futures contracts. Under our proposal the total margin, of all positions (short and long), is significantly reduced compared with individual margins. The methodology is congruent with the management of different types of risks: v.g. market, credit, and liquidity.// El presente artículo proporciona un esquema de márgenes con spread entre clases de contratos a futuro de divisas, tasas de interés, títulos de capital e índices accionarios. La metodología propuesta utiliza como instrumento principal la correlación entre las clases y/o series de los contratos a futuro. En nuestra propuesta el monto total de margen que debe ser aportado, por las posiciones abiertas (cortas y largas), a la cámara de compensación y liquidación se reduce significativamente en comparación con las aportaciones individuales. La metodología propuesta es congruente con la administración de riesgos de mercado, crédito y liquidez.

Suggested Citation

  • Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco, 2004. "Márgenes con spread intraclase para el mercado mexicano de derivados," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(283), pages 681-715, julio-sep.
  • Handle: RePEc:elt:journl:v:71:y:2004:i:283:p:681-715

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    More about this item


    cartera; futuros;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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