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

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.

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Year of publication:	2001
Authors:	González-Aréchiga, Bernardo ; Tinoco, Jaime Díaz ; Venegas-Martínez, Francisco
Published in:	Economía Mexicana NUEVA ÉPOCA. - Vol. X.2001, 2, p. 259-290
Subject:	portfolio immunization \| exchange-rate risk \| futures contracts \| value at risk

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Extent:	application/pdf
Type of publication:	Article
Language:	Spanish
Source:	RePEc - Research Papers in Economics

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