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7 de marzo 08 TASAS Finanzas II - LAE Alejandro M. SALEVSKY Juan M. CASCONE Pablo TECHERA Sabrina REY Adrián ECKER
INDICE ,[object Object],[object Object],[object Object],[object Object]
PAUTAS DEL CURSO ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
CONTACTOS ,[object Object],Mail & Google Talk:  [email_address] MSN:  [email_address] http://www.multitag.com.ar ,[object Object],Mail & Google Talk:  [email_address] MSN:  [email_address] http://www.multitag.com.ar ,[object Object],Mail & Google Talk:  [email_address] MSN:  [email_address] http://www.multitag.com.ar ,[object Object],Mail:  [email_address] ,[object Object],Mail & Google Talk:  [email_address] MSN:  [email_address] ,[object Object],Mail & Google Talk:  [email_address] http://condensadordeflujo.wordpress.com
NOTICIAS
BIBLIOGRAFIA Investments .   William Sharpe, Gordon Alexander, J. Bailey. Prentice Hall. 6th  Ed.  Chapter 5: Page 108 - 138. Foundations of Financial Markets and Institutions . Frank Fabozzi, Franco Modigliani, Michael Ferri.  Prentice Hall. 2nd Edition. ISBN 0-13-86056-7. Ch 12 The Term Structure of Interest Rates. Pg 223. Brealey & Myers .   Chapter 23 Valuing Debt. ó Capítulo 21 Valoración de los diferentes tipos de deuda
REPASO ,[object Object],[object Object],[object Object],[object Object],[object Object]
YTM – YIELD TO MATURITY Generalidades ,[object Object],[object Object],Ejemplo ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],¿Qué relación existe entre la actividad económica de un país y sus niveles inflacionarios? ¿Qué relación existe en un país entre los niveles inflacionarios y los  ? ¿Qué relación existe entre el valor de un bono (inversión),  la tasa cupón (tasa pactada) y la YTM (tasa de mercado) en una economía?
RISK FREE RATE Generalidades ,[object Object],[object Object],Tipos ,[object Object],Risk Premium ,[object Object]
SPOT RATE Generalidades ,[object Object],[object Object],Ejemplo#1 ,[object Object],[object Object],Síntetización de bonos cupón ,[object Object],Ejemplo#2 ,[object Object],(946.93) 50.00 1.050.00 1+S1=1.07 1+S2=?
FORWARD RATE Generalidades ,[object Object],S 2 =[(1+r)^(1/2)]-1 S 1 =[(1+r)^(1/1)]-1 F 1-2 =[(1+r)^(1/1)]-1 MATURITY STRATEGY ROLLOVER STRATEGY En teoría, en condiciones de equilibrio ambas estrategias  deberían generar el mismo rendimiento. (1+S 2 )^2 = (1+S 1 ) * (1+f 1-2 ) m 0 1y 2y
FORWARD RATE Ejemplo ,[object Object],Bono m o y1 y2 y3 A B C (909.09) (991.81) (977.18) 1.000 100 100 1.100 100 1.100 Investments.  Sharpe 6th edition. Pag 132. Exercise 14
YIELD CURVE Generalidades ,[object Object],[object Object],http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml
YIELD CURVE
LAS FORMAS DE LA YIELD CURVE ,[object Object],[object Object],[object Object],[object Object],t r NORMAL t r HUMPED t r INVERTIDA t r FLAT ¿Qué relación existe entre la actividad económica de un país y sus niveles inflacionarios? ¿Qué relación existe en un país entre los niveles inflacionarios y los  ?
TEORÍA DE LAS EXPECTATIVAS Generalidades Ejemplo ,[object Object],[object Object],(1+S 2 )^2 = (1+S 1 ) * (1+f 1-2 ) donde (1+f 1-2 ) = (1+r) * (1+ φ 1-2 ) La forward rate representa la  opinión promedio de la  futura spot rate La única razón para que la pendiente sea positiva es que los inversores esperan que los  tasas de corto plazo en el futuro sean mayores que las actuales El mercado espera que la spot rate cambie porque la  tasa real  o la  tasa de inflación  va a cambiar
TEORÍA DE LA PREFERENCIA DE LA LIQUIDEZ Generalidades Ejemplo ,[object Object],(1+S 2 )^2 = (1+S 1 ) * (1+f 1-2 ) donde (1+f 1-2 ) = (1+r) * (1+ φ 1-2 ) * (1+l) ,[object Object],[object Object],[object Object],[object Object]
TEORÍA DE SEGMENTACIÓN DE LOS MERCADOS Generalidades ,[object Object],[object Object],[object Object],[object Object],[object Object]
UTILIDAD DE LA YIELD CURVE ,[object Object],[object Object],[object Object],[object Object],¿Qué relación existe entre la actividad económica de un país y sus niveles inflacionarios? ¿Qué relación existe en un país entre los niveles inflacionarios y los costos de financiamiento? ¿Un aumento de los US Securities puede tener implicancias en el la economía local? ¿Qué variables cree Ud. que pueden ser obtenidas usando como proxy la YC? ? ARBITRAJE ,[object Object],[object Object],[object Object],1 PREDICTOR ECONOMIA ,[object Object],[object Object],2
Inflation Rate: 6.44% Inflation Rate: 14.76% NORMAL INVERTED http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
Inflation Rate: 4.60% Inflation Rate: 2.26% NORMAL FLAT http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
Inflation Rate: 2.82% Inflation Rate: 2.54% STEEP FLAT http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
Inflation Rate: 3.41% Inflation Rate: 1.64% FLAT STEEP http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
Inflation Rate: 3.17% FLAT Inflation Rate: 3.24% HUMPED http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
CASO DE ACTUALIDAD S E C U R I T I Z A C I O N  S A V N D G S D F G G H J K R E R F C V B F R  T  W Q S D S D S  S   U   B   P   R   I   M   E  F I O Y  A  E R  M  T Y U B S D W Q A I A X A C B N  S  T R  O  S Q R C V B N F D E E W Q R T G  A  G T  R  S C D  R E C E S I O N  S W Q A S  S  V B  T  R E S O  I  V O N N F E R G B H Y T S D  A  X Z A Z A  E  T R T E  F  F V O J U I F G  G  K  R E A L E S T A T E B U B B L E  K L  E  E D E C V F S  G  S S  D  S A Q X C V B V H J U J I G B N H  O  H N Z G N M K J M T G R F E O E D S C S C V B V B H J N J U J B  C A L I F I C A D O R A S  T B T R F V F G B D C D X S X A Z Q E W E T Y U I  Brainstorming y creación colaborativa de concepto
YIELD CURVE EN ARGENTINA (ACTUAL) (YTM real) ,[object Object],[object Object],¿Qué relación existe entre la actividad económica de un país y sus niveles inflacionarios? ¿Qué relación existe en un país entre los niveles inflacionarios y los  ?
[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Trying To Predict Interest Rates   ,[object Object],[object Object]
[object Object],[object Object],[object Object]
[object Object],[object Object]
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]

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Tasas F2 7 de marzo 2008

  • 1. 7 de marzo 08 TASAS Finanzas II - LAE Alejandro M. SALEVSKY Juan M. CASCONE Pablo TECHERA Sabrina REY Adrián ECKER
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  • 6. BIBLIOGRAFIA Investments . William Sharpe, Gordon Alexander, J. Bailey. Prentice Hall. 6th Ed. Chapter 5: Page 108 - 138. Foundations of Financial Markets and Institutions . Frank Fabozzi, Franco Modigliani, Michael Ferri. Prentice Hall. 2nd Edition. ISBN 0-13-86056-7. Ch 12 The Term Structure of Interest Rates. Pg 223. Brealey & Myers . Chapter 23 Valuing Debt. ó Capítulo 21 Valoración de los diferentes tipos de deuda
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  • 20. Inflation Rate: 6.44% Inflation Rate: 14.76% NORMAL INVERTED http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
  • 21. Inflation Rate: 4.60% Inflation Rate: 2.26% NORMAL FLAT http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
  • 22. Inflation Rate: 2.82% Inflation Rate: 2.54% STEEP FLAT http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
  • 23. Inflation Rate: 3.41% Inflation Rate: 1.64% FLAT STEEP http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
  • 24. Inflation Rate: 3.17% FLAT Inflation Rate: 3.24% HUMPED http://www.stockcharts.com/charts/YieldCurve.html http :// inflationdata.com / inflation / inflation_rate / HistoricalInflation.aspx?dsInflation_currentPage =1 YIELD CURVES VS INFLATION (yoy)
  • 25. CASO DE ACTUALIDAD S E C U R I T I Z A C I O N S A V N D G S D F G G H J K R E R F C V B F R T W Q S D S D S S U B P R I M E F I O Y A E R M T Y U B S D W Q A I A X A C B N S T R O S Q R C V B N F D E E W Q R T G A G T R S C D R E C E S I O N S W Q A S S V B T R E S O I V O N N F E R G B H Y T S D A X Z A Z A E T R T E F F V O J U I F G G K R E A L E S T A T E B U B B L E K L E E D E C V F S G S S D S A Q X C V B V H J U J I G B N H O H N Z G N M K J M T G R F E O E D S C S C V B V B H J N J U J B C A L I F I C A D O R A S T B T R F V F G B D C D X S X A Z Q E W E T Y U I Brainstorming y creación colaborativa de concepto
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