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

  • Gloria M. Soto Pacheco

    ()

    (Universidad de Murcia)

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.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2002-13.pdf
File Function: Fisrt version / Primera version, 2002
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-13.

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Length: 51 pages
Date of creation: Jun 2002
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2002-13
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