Tag Archive | "Deuda Soberana"

Paper: Reestructuración “ordenada” de la Deuda griega

Paper: Reestructuración “ordenada” de la Deuda griega

Engineering an Orderly Greek Debt Restructuring

Abstract: 
For some months now, discussions over how Greece will restructure its debt have been constrained by the requirement that the deal be “voluntary” – implying that Greece would continue debt service to any creditors that choose retain their old bonds rather than tender them in an exchange offer. In light of Greece’s deep solvency problems and lack of agreement with its creditors so far, the notion of a voluntary debt exchange is increasingly looking like a mirage. In this essay, we describe and compare three alternative approaches that would achieve an orderly restructuring but avoid an outright default: (1) “retrofitting” and using a collective action clause (CAC) that would allow the vast majority of outstanding Greek government bonds to be restructured with the consent of a supermajority of creditors; (2) combining the use of a CAC with an exit exchange, in which consenting bondholders would receive a new English-law bond with standard creditor protections and lower face value; (3) an exit exchange in which a CAC would only be used if participation falls below a specified threshold. All three exchanges are involuntary in the sense that creditors that dissent or hold out are not repaid in full.

Link al Paper

Posted in Gaston Besanson, PaperComments (0)

Gráfico du Jour: Deuda Grecia, Proyecciones

Gráfico du Jour: Deuda Grecia, Proyecciones

(Fuente: Perspective de Marché, BNP Paribas, 14 February 2012)

 

 

Posted in Fixed Income, Gaston BesansonComments (0)

Gráfico du Jour: Europa, Spread sobre bonos alemanes

Gráfico du Jour: Europa, Spread sobre bonos alemanes

(Fuente: Bank of England)

Posted in Fixed Income, Gaston BesansonComments (0)

Paper: Cartera de bonos, Manejo de riesgo soberano

Paper: Cartera de bonos, Manejo de riesgo soberano

Managing Sovereign Credit Risk in Bond Portfolios

Abstract:      
With the recent development of the European debt crisis, traditional index bond management has been severely called into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We then consider two alternative weighting methods which are fundamental indexation and risk-based indexation. Fundamental indexation is based on GDP indexation whereas risk-based indexation uses a risk-budgeting approach based on our sovereign credit risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with respect to active management of bond portfolios.

Link al Paper

Posted in Gaston Besanson, PaperComments (0)

Paper: Estructura Temporal de Tasas de Interes. Caso Argentino

Paper: Estructura Temporal de Tasas de Interes. Caso Argentino

La modelizaciónde la curva cero cupón local de Argentina presenta desafíos interesantes dado que es un mercado relativamente ilíquido y con bonos de estructura compleja. Este paper adapta la metodología de Nelson y Siegel a las particularidades del mercado argentino de forma de optimizar su performance.

Estimación de la Estructura Temporal de Tasas de Interés en el Caso Argentino

Resumen: Se evalúan dos métodos de estimación de la estructura temporal de tasas de interés para el caso de una curva invertida, con dos jorobas y poca granularidad como es la curva de bonos argentinos indexados a la inflación. Se contrasta un método paramétrico basado en fundamentos económicos, propuesto por Nelson y Siegel en 1987 y extendido por Svensson en 1994, con otro método clásico de interpolación basado en splines naturales.

Link al Paper

Posted in Lucia Cipolina Kun, PaperComments (0)

Renta Fija para Todos!

Renta Fija para Todos!

Gracias nuevamente a la gente de Dr. Sapix por brindarnos un nuevo usuario y clave para disfrutar de su sitio BonosArgentinos.com

Usuario: testing

Clave: sapix2011

 

 

Posted in Fixed IncomeComments (0)

Fun & Finance Community