<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0185-1667</journal-id>
<journal-title><![CDATA[Investigación económica]]></journal-title>
<abbrev-journal-title><![CDATA[Inv. Econ]]></abbrev-journal-title>
<issn>0185-1667</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Economía]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0185-16672000000300077</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Riesgo de tasas de interés e inmunización por duración y convexidad con futuros: análisis local y de valor en riesgo]]></article-title>
<article-title xml:lang="en"><![CDATA[Interest-rate Risk and Immunization for dollar Duration and dollar Convexity with Futures: local analysis and the Value at Risk]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[González-Aréchiga Ramírez-Wiella]]></surname>
<given-names><![CDATA[Bernardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Díaz Tinoco]]></surname>
<given-names><![CDATA[Jaime]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,MEXDER  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Mexder  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,ASIGNA, Compensación y Liquidación  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2000</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2000</year>
</pub-date>
<volume>60</volume>
<numero>233</numero>
<fpage>77</fpage>
<lpage>112</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0185-16672000000300077&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0185-16672000000300077&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0185-16672000000300077&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En este trabajo se presenta un modelo de decisión para inmunizar flujos financieros, pasivos y activos, contra el riesgo de tasas de interés mediante el uso de contratos a futuro sobre Cetes. Las decisiones de inversión que se derivan del modelo propuesto conducen a una reducción significativa del riesgo de mercado. Los conceptos de du­ ración y convexidad monetarias desempeñ.an un papel importante en el desarrollo del modelo en cuanto a la medición y el control del riesgo. Específicamente, se controla el riesgo de desplazamientos paralelos y moderados en la estructura intertemporal de la tasa de interés y no existe control sobre otros riesgos. La robustez de las estrategias obtenidas se evalúa con base en el comportamiento histórico de la tasa de interés. A partir de un registro histórico de la estructura intertemporal de la tasa de descuento diaria para los Cetes, se generan las distribuciones empíricas del valor presente de los flujos financieros con y sin futuros. Los efectos del riesgo en el valor presente antes y después de la cobertura se comparan en términos de la reducción de la varianza y del valor en riesgo a un cierto nivel de confianza. A manera de ilustración, el modelo desarrollado es aplicado en la cobertura de un conjunto de flujos financieros.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In this paper we present a model to immunize a future stream of assets and liabilities against interest-rate risk by means of bond futures contracts. The investment decisions derived from the model reduce significantly the market risk. The concepts of dollar duration and dollar convexity play an important role in measuring and con­ trolling interest-rate risk. Specifically, the risk of small or moderate parallel shifts in the term structure of interest rates is controlled; there is no control on other risks. The robustness of the derived strategies is assessed in terms of the past behavior of the interest rate. From a sample of the term structure of bond discount rates, we generate the empirical distributions of the present value of a cash flow with and without hedging. The effects of risk on the present value before and after immunization are compared in terms of the variance reduction and the value at risk at a certain confidence level. An application is addressed by the way of illustration.]]></p></abstract>
</article-meta>
</front><back>
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