In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

Spanish Abstract: En esta monografía se describe la estructura temporal de los tipos de interés, la curva de rendimientos cupón-cero, los tipos de interés a plazo implícitos, la teoría de las expectativas del mercado sobre los tipos de interés, la teoría de la preferencia por la...

This document studies the recent evolution of the break-even-inflation implicit in the yields of long-term financial instruments in Mexico. In particular, it analyzes the dynamics of its main components: the long-run inflation expectation and the inflationary risk premium, which are estimated by...

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

Spanish Abstract: A partir de las decisiones de la Comisión Europea que sancionaron el cártel de los derivados sobre tipos de interés en euros se han iniciado acciones judiciales para reclamar la compensación de los daños provocados por la manipulación de los índices de tipos de interés...

After the bankruptcy of Lehman Brothers, in September 2008, there was huge stress in the financial markets. In the money markets, the Eurosystem had to adopt measures providing liquidity to banks in order to avoid the collapse of the interbank market. In this work we analyze the changes in the...