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Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo

Author

Listed:
  • Bernardo González-Aréchiga

    (MexDer, Mercado Mexicano de Derivados, S.A. de C.V. México, D.F. Mexico)

  • Jaime Díaz Tinoco

    (Asigna, Compensación y Liquidación e Indeval, S.A. de C.V. México, D.F. Mexico)

  • Francisco Venegas-Martínez

    (Mathematical Finance Group, Oxford University.)

Abstract

In this paper, we develop a model to hedge cash flows denominated in dollars against both exchange-rate and interest-rate risks by means of futures contracts on US currency. The robustness of the derived strategies is assessed in terms of their value at risk. The effects of the market risk on the cash flows before and after hedging are compared in terms of: 1) costs, 2) variance, and 3) value at risk. An application to hedge cash flows on US currency is addressed by way of illustration.

Suggested Citation

  • Bernardo González-Aréchiga & Jaime Díaz Tinoco & Francisco Venegas-Martínez, 2001. "Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 259-290, July-Dece.
    • Handle: RePEc:emc:ecomex:v:10:y:2001:i:2:p:259-290
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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/X-2/03_BERNARDO_GONZALEZ_(259-290).pdf
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    Cited by:

    1. Guillermo Benavides-Perales & Isela-Elizabeth Téllez-León & Francisco Venegas-Martínez, 2020. "How Sensitive is the Exchange Rate to External and Internal Factors in Mexico? A Comparative Analysis with 27 Developed and Emerging Economies," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 6(1), pages 4-18, December.
    2. Torres-Brito, David Israel & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2023. "Impacto de los contaminantes por gases de efecto invernadero en el crecimiento económico en 86 países (1990-2019): Sobre la curva inversa de Kuznets [Impact of the Effect of Greenhouse Gas Pollutan," MPRA Paper 119031, University Library of Munich, Germany.

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