&gt;HEDGING FUTURE CASH FLOWS WITH INTEREST-RATE FUTURES CONTRACTS: A DURATION AND CONVEXITY ANALYSIS UNDER THE NELSON &amp; SIEGEL MODEL

VENEGAS-MARTÍNEZ, FRANCISCO

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Human and Social Management • RAM, Rev. Adm. Mackenzie 4 (1) • 2003 • https://doi.org/10.1590/1678-69712003/administracao.v4n1p108-123 copy

>HEDGING FUTURE CASH FLOWS WITH INTEREST-RATE FUTURES CONTRACTS: A DURATION AND CONVEXITY ANALYSIS UNDER THE NELSON & SIEGEL MODEL

Authorship SCIMAGO INSTITUTIONS RANKINGS

ABSTRACT

In this paper we present a model to immunize a future stream of assets and liabilities against interest-rate risk by means of futures contracts on government bonds. The hedging strategies derived from the model reduce significantly the market risk. The concepts of dollar duration and dollar convexity play an important role in measuring and controlling interest-rate risk. Specifically, the risk of small or moderate parallel shifts in the term structure of interest rate is controlled, there is no control on other risks. The robustness of the derived strategies is assessed in terms of the methodology of value at risk. An application is addressed by the way of illustration.

KEYWORDS
Portfolio immunization; Interest-rate risk; Futures contracts; Value at risk

Fechas de flujos	Montos de flujos	Vencimientos de futuros
Fechas de flujos	Montos de flujos	CETES
31-Dic-01	$910,000.00	21-Dic-01		método histórico
31-Ene-02	-$950,000.00	20-Mar-02		c/futuros	s/futuros
31-Mar-02	$1,000,000.00	N₁ = 11.98	media	19,567.17	-9,222.72
30-Jun-02	$1,000,000.00	N₂ = 14.161	desv.est.	389.11	27,112.20
		21-Dic-01		método histórico
		20-Jun-02		c/futuros	s/futuros
		N₁ = 18.04	media	18,452.89	-9,444.62
		N₂ = 8.54	desv.est.	5,117.80	28,279.42
		20-Mar-02		método histórico
		20-Jun-02		c/futuros	s/futuros
		N₁ = 43.27	media	21,025.67	-9,444.62
		N₂ = -17.26	desv.est.	9,101.41	28,279.42

	VARIACIONES DE MERCADO CON FUTUROS		VARIACIONES DE MERCADO SIN FUTUROS
	Media	18,345.31	Media	25,5987.78
	Desv.Est.	498.36	Desv.Est.	18,758.23
Percentil	VP	Cambio respecto a la base	VP	Cambio respecto a la base
Máximo	21,234.55	2,888.78	123,582.57	102,252.81
0.995	20,874.48	1,543.77	92,571.19	71,741.79
0.990	20,783.72	1,503.25	85,424.78	67,093.95
0.950	20,276.82	936.18	57,378.41	38,078.45
0.900	19,432.35	543.89	42,043.52	21,713.76
0.800	19,215.85	256.82	33,175.04	13,845.46
0.700	19,199.17	203.41	27,645.42	10,359.66
0.600	19,151.57	131.82	27,123.85	7,887.09
0.500	19,130.88	87.12	24,545.25	5,652.79
0.400	19,118.42	-17.89	22,032.51	2,678.65
0.300	19,104.72	-75.02	18,677.51	-752.76
0.200	19,053.43	-173.53	13,973.41	-5,345.34
0.100	18,360.55	-482.21	7,778.17	-12,991.45
0.050	18,332.65	-752.35	1,875.01	-16,465.77
0.010	18,032.16	-1,256.66	-10,548.46	-29,878.23
0.005	17,868.44	-1,261.32	-23,826.99	-42,345.77
Mínimo	16,459.78	-3,698.67	-75,893.09	-93,972.45

Editora Mackenzie; Universidade Presbiteriana Mackenzie Rua da Consolação, 896, Edifício Rev. Modesto Carvalhosa, Térreo - Coordenação da RAM, Consolação - São Paulo - SP - Brasil - cep 01302-907 - São Paulo - SP - Brazil
E-mail: revista.adm@mackenzie.br

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