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Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo


  • Bernardo González-Aréchiga

    (MexDer, Mercado Mexicano de Derivados, S.A. de C.V. México, D.F. Mexico)

  • Jaime Díaz Tinoco

    (Asigna, Compensación y Liquidación e Indeval, S.A. de C.V. México, D.F. Mexico)

  • Francisco Venegas-Martínez

    (Mathematical Finance Group, Oxford University.)


In this paper, we develop a model to hedge cash flows denominated in dollars against both exchange-rate and interest-rate risks by means of futures contracts on US currency. The robustness of the derived strategies is assessed in terms of their value at risk. The effects of the market risk on the cash flows before and after hedging are compared in terms of: 1) costs, 2) variance, and 3) value at risk. An application to hedge cash flows on US currency is addressed by way of illustration.

Suggested Citation

  • Bernardo González-Aréchiga & Jaime Díaz Tinoco & Francisco Venegas-Martínez, 2001. "Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo," Economía Mexicana NUEVA ÉPOCA, , vol. 0(2), pages 259-290, July-Dece.
  • Handle: RePEc:emc:ecomex:v:10:y:2001:i:2:p:259-290

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