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La curva Spot (Cero Cupón), Estimación con splines cúbicos suavizados, usos y ejemplos

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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 tamano importante a nivel global a modificar su proceso de toma de desiciones, 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, 2002. "La curva Spot (Cero Cupón), Estimación con splines cúbicos suavizados, usos y ejemplos," Lecturas en Finanzas 2961, Banco de la República.
    • Handle: RePEc:col:000095:002961
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    References listed on IDEAS

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    1. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 233-252, September.
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    4. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
    5. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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    2. Karim Parra, 2010. "Factores determinantes del margen entre la deuda corporativa y la deuda pública en Colombia," Revista de Economía del Rosario, Universidad del Rosario, November.
    3. Chamorro-Gómez, José Augusto & Domínguez-Blancas, Christian Said & García-Morales, María Isabel, 2017. "El financiamiento de la banca comercial y el mercado de capitales: su relación con la desigualdad en la distribución del ingreso en México," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 12(24), pages 115-144, Primer se.
    4. Juan Camilo Santana, 2008. "La curva de rendimientos: una revisión metodológica y nuevas aproximaciones de estimación," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, July.

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