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Cobertura óptima de riesgos de mercado en presencia de riesgos de cantidad y de costos de producción

Author

Listed:
  • Castillo, Augusto

    (Escuela de Administración de la Pontificia Universidad Católica de Chile y Escuela de Negocios de la Universidad Adolfo Ibáñez)

  • Águila, Rafael

    (Facultad de Economía y Escuela de Administración de la Pontificia Universidad Católica de Chile)

Abstract

This paper discusses how to achieve optimal hedging of a cash flow when facing exchange rate risk, price risk of the product the company sells and costs and quantity uncertainty. We present an analytical solution to the optimal hedging strategies when futures on the good produced and on the exchange rate are available. An easy regression-based methodology to optimal hedging strategies is also proposed. We identify the key parameters affecting this strategy, which are the volatilities of the exchange rate, price, costs and quantity and the correlations among those variables. The methodology developed is applied to the particular case of cellulose Chilean exports.// En este artículo se analiza cómo lograr la cobertura óptima de un flujo de caja en presencia de riesgo de tipo de cambio, riesgo de precio en el producto que se vende, e incertidumbre respecto a los costos y a la cantidad por vender. Se presenta una solución analítica para las estrategias de cobertura óptimas en estos casos, si se dispone de futuros sobre el bien producido y de futuros de tipo de cambio para realizar dicha cobertura. También se propone un método simple, basado en la metodología de regresiones, para obtener las estrategias de cobertura óptimas. Se analiza de qué manera la cobertura óptima depende de los parámetros clave identificados, es decir de la volatilidad del tipo de cambio, del precio, de los costos y de la cantidad, y de las correlaciones entre estas variables. La metodología desarrollada es aplicada al caso particular de las exportaciones chilenas de celulosa.

Suggested Citation

  • Castillo, Augusto & Águila, Rafael, 2008. "Cobertura óptima de riesgos de mercado en presencia de riesgos de cantidad y de costos de producción," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(299), pages 755-778, julio-sep.
  • Handle: RePEc:elt:journl:v:75:y:2008:i:299:p:755-778
    DOI: http://dx.doi.org/10.20430/ete.v75i299.418
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    Keywords

    cobertura; riesgo de cantidad;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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