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Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos

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  • Alejandro Revéiz Hérault
  • Juan Manuel Julio
  • Silvia Juliana Mera

Abstract

En este artículo se discute la importancia de la Curva spot (Cero Cupón), así como las consideraciones que deben realizarse para escoger un conjunto de métodos de estimación que suplan las múltiples necesidades a las que se enfrenta un inversionista o especulador -valoración de activos y de productos contingentes, medición de riesgo, análisis multifactoriales de la curva de rendimientos, etc. Adicionalmente, se presenta una metodología de estimación basada en Splines Cúbicos Suavizados, con validación cruzada, con la cual se estima la curva spot de los TES B tasa fija. Esta estimación es posteriormente utilizada para ilustrar los problemas que pueden surgir al estimar curvas spot, con cualquier metodología, en un mercado ineficiente en términos de arbitraje, así como para estimar los Key Rate Durations - una descomposición linealpor tramos de la curva de duración efectiva - para títulos específicos o portafolios de bonos. Esto con el fin de mostrar cómo movimientos no paralelos de la curva, cambios en la pendiente o en la curvatura, pueden afectar portafolios con la misma duración. En la última sección se presentan las conclusiones, haciéndose énfasis principalmente en el hecho de quelas herramientas que surgen de la estimación de esta curva y la sofisticación de los mercados financieros han llevado a las instituciones financieras y los inversionistas institucionales de tamaño importante a nivel global a modificar su proceso de toma de decisiones, trabajando en base a un presupuesto de riesgo definido por los niveles más altos de las instituciones que es distribuido selectivamente por tipos de riesgo tales como riesgo de tasa de interés, crédito o de prepago entre otros.

Suggested Citation

  • Alejandro Revéiz Hérault & Juan Manuel Julio & Silvia Juliana Mera, "undated". "Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos," Lecturas en Finanzas 002961, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:lectur:002961
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