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Valuación Del Valor En Riesgo De Bonos Cupón Cero En El Mercado Financiero Mexicano A Través Del Modelo De Vasicek, Cir Y Simulación Monte Carlo Con Saltos De Poisson

Author

Listed:
  • Fernando Cruz Aranda

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

En este trabajo de investigación se calcula el "Valor en Riesgo", llamado VaR, de un bono cupon cero. Se utiliza la tasa de rendimiento anualizada diaria de cetes a 28 días, en el periodo del 3 de mayo de 2004 al 8 de marzo de 2006 para la economía Mexicana. La tasa corta es guiada por una ecuación diferencial estocástica, en particular, del modelo de Vasicek y CoxIngersoll-Ross (CIR). La estimación de los parámetros es por MCO y MGM respectivamente. Asimismo, se determina la estructura de plazos del bono cupon cero. Finalmente, se calcula el precio del bono por simulaciones Monte Cario en la que la dinámica de la tasa corta sigue un proceso estocástico del tipo de Vasicek y CIR, donde la incorporan de saltos de Poisson conducen a una serie de conclusiones y recomendaciones.

Suggested Citation

  • Fernando Cruz Aranda, 2006. "Valuación Del Valor En Riesgo De Bonos Cupón Cero En El Mercado Financiero Mexicano A Través Del Modelo De Vasicek, Cir Y Simulación Monte Carlo Con Saltos De Poisson," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 5(1), pages 47-83, Marzo 200.
    • Handle: RePEc:imx:journl:v:5:y:2006:i:1:p:47-83
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    More about this item

    Keywords

    Valor en riesgo; bono cupón cero; simulación Monte Carla;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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