3. Cuadernos Latinoamericanos de Administración - Cosecha
Coverage of TIPS Portfolios through Derivative Instruments in Colombia
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Resumen
Aim of this research is to identify the posiblles effects of a devaluation of bonds in the Colombian capital market. The methodology used is quantitative in nature and experimental, as a simulation model with future returns of a Notional Bond references comprised TES TIPS (mortgage securities) that are currently in force is employed. Subsequently, the basket of duration of TIPS is selected and finally the calculation of the call is: dirty price and the modified duration of the security. The most relevant results of the investigation suggest that there is a strong correlation of the reference rates Banco Republica, with the behavior of prepayments in the draft realty bonds, which can be used to predict prepayments on mortgage securities. Additionally, because in Colombia there is no developed market options, it is necessary that the bank’s creditors employ option “call” on the final Securitization so they can “buy back” the TIP. Finally, suiere that the state should improve the regulation of that market, must be implemented specifically dynamic hedging in our market for this type of asset.