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

Bernardo González-Aréchiga, Jaime Díaz Tinoco and Francisco Venegas-Martínez
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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

Economía Mexicana NUEVA ÉPOCA, 2001, vol. X, issue 2, 259-290

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.

Keywords: portfolio immunization; exchange-rate risk; futures contracts; value at risk (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:emc:ecomex:v:10:y:2001:i:2:p:259-290

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