IDEAS home Printed from https://ideas.repec.org/p/ivi/wpasec/2002-13.html
   My bibliography  Save this paper

Modelos De Duración Y Gestión Del Riesgo De Interés: ¿Un Problema De Dimensión?

Author

Listed:
  • Gloria M. Soto Pacheco

    () (Universidad de Murcia)

Abstract

The group of duration models has grown rapidly during last years, offering manynew approaches for interest rate risk management in delta or delta-gamma frameworks.This paper attempts to make up for the lack of empirical evidence concerning theperformance of some of the most realistic duration models in interest rate riskmanagement by analyzing their effectiveness to immunize fixed income portfolios. Tothis end, the paper focuses on a major European market that has registered intenseinterest rate shifts during the nineties, the Spanish government debt market. Our resultsshow that (i) traditional immunization is easily surpassed by more realistic strategies;(ii) the number of risk factors has a greater influence on the result than the particularmodel chosen; and (iii) three-factor immunization strategies offer the highestimmunization benchmarks. Los modelos de duración han experimentado una profunda revisión en los últimos años que ha dado lugar a la coexistencia de numerosos enfoques para la gestión de carteras de renta fija. El objetivo de este trabajo es cubrir la carencia de un estudio comparativo entre los principales modelos, analizando su capacidad para inmunizar carteras de renta fija. Nuestra investigación se centra en un mercado que ha experimentado intensos desplazamientos de la curva de tipos, el mercado español de deuda pública. Los resultados evidencian que la comparativa con el modelo de duración tradicional que habitualmente se lleva a cabo en la investigación aplicada es poco exigente; que el número de fuentes de riesgo ante las que se inmunizan las carteras resulta más crucial para los resultados que la elección de uno u otro modelo de los analizados y, finalmente, que las estrategias que inmunizan con respecto a tres fuentes de riesgo procuran las más altas cotas de inmunización que pueden conseguirse.

Suggested Citation

  • Gloria M. Soto Pacheco, 2002. "Modelos De Duración Y Gestión Del Riesgo De Interés: ¿Un Problema De Dimensión?," Working Papers. Serie EC 2002-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2002-13
    as

    Download full text from publisher

    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2002-13.pdf
    File Function: Fisrt version / Primera version, 2002
    Download Restriction: no

    More about this item

    Keywords

    inmunización; duración; tipos de interés; gestión de riesgos; renta fija immunization; duration; interest rate; risk management; fixed income;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2002-13. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición). General contact details of provider: http://edirc.repec.org/data/ievages.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.