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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México

García-Verdú, Santiago - 2011

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...

Persistent link: https://www.econbiz.de/10009410460

Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés

González, Mirta; Pérez, María Cecilia - 2015

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 portfolio. An application of alpha-stable distributions has allowed …

Persistent link: https://www.econbiz.de/10011392440

Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México

García-Verdú, Santiago - 2011

Persistent link: https://www.econbiz.de/10010322548

Simulación de la estructura temporal de tasas de interés: Una aplicación al cálculo de riesgo de tasas de interés

González, Mirta; Pérez, María Cecilia - 2015

estructura temporal de tasas de interés se realiza el cálculo del value at risk y del expected shortfall sobre los resultados de …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 …

Persistent link: https://www.econbiz.de/10011716913

Pronósticos de la estructura temporal de las tasas de interés en México utilizando und modelo afín

Elizondo, Rocio - 2013

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...

Persistent link: https://www.econbiz.de/10010322556