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La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera

Listed author(s):
  • Gloria M. Soto Pacheco


    (Universidad de Murcia)

  • Mª Asunción Prats Albentosa


    (Universidad de Murcia)

Although traditional immunization offers protection against parallel movements of theterm structure of interest rates (TSIR) exclusively, numerous studies have shown that thisstrategy offers near perfect immunization at an empirical level. This work reveals some of thefactors that justify this success by analyzing the influence of portfolio structure on the goal ofimmunization.Focusing on the Spanish government debt market in the period 1992-1999, we find thatthe portfolio structure is not trivial for immunization. When portfolios include a bond maturingnear the end of the holding period, the exposition to non parallel shifts of the TSIR dropsnotably, and the difficulties to set up the duration-matching portfolios lessen. These two forceslead to a more effective immunization. Also, the maturity bond it is shown to be necessary inthe portfolios with minimum M-Absolute (Nawalkha and Chambers, 1996) to obtain a returnclose enough to the target return. Nevertheless, the strategies based on M-Squared (Fong andVasicek, 1984) and M-Absolute are overcome by other duration-matching strategies that imposepeculiar portfolio structures. Aunque la estrategia de inmunización tradicional defiende a una cartera de renta fija exclusivamente de los desplazamientos paralelos de la curva de tipos, a nivel empírico numerosas investigaciones han puesto de manifiesto que esta estrategia ofrece un excelente grado de inmunización. En este trabajo desvelamos algunos de los factores que justifican el éxito de la estrategia de inmunización tradicional centrándonos, en particular, en la influencia que tiene la estructura de la cartera inmunizada. Empleando como marco de análisis el mercado español de deuda pública en el periodo 1992-1999, nuestros resultados evidencian que la estructura de cartera no es una cuestión trivial para el buen funcionamiento de la estrategia de inmunización tradicional. Incluir un bono con vencimiento cercano al fin del horizonte de planificación provoca reducciones significativas del grado de exposición al riesgo de las carteras y minora las dificultades que pueden plantearse a la hora de construir las carteras inmunizadas, todo lo cual da lugar a un mayor grado de inmunización. La posibilidad de contar con este bono es necesaria para que la estrategia basada en la M-Absoluta (Nawalkha y Chambers, 1996) garantice un grado de inmunización suficiente. No obstante, las estrategias basadas en M-Cuadrado (Fong y Vasicek, 1984) y M-Absoluta son superadas por otras estrategias basadas en la duración tradicional que imponen determinadas configuraciones de cartera.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-03.

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Length: 44 pages
Date of creation: Feb 2002
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2002-03
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