Hedging alternatives for the mortgage stabilization fund (FRECH): european cap options for the real interest rate

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Borradores de Economía; No. 265
Date published
2003-10-20
Date of last update
2003-10-20
Author
Vásquez, Diego Mauricio
Zea, Camilo
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
The World Bank has proposed an alternative hedging instrument to be offered by the FRECH, instead of the collar-swap currently available. The suggested derivative corresponds to a European Cap option for the real interest rate, which could give greater fl
JEL Codes
C23 - Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal ModelsG23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Keywords
Administradora de Fondos de Pensiones (AFP) ; Rentabilidad ; Cointegración panel ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5283
https://hdl.handle.net/20.500.12134/5283
https://doi.org/10.32468/be.265
https://ideas.repec.org/p/bdr/borrec/265.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit