TY  - JOUR
AU  - Sandra Morini Marrero
AU  - Mariano Cejas Rodríguez
T1  - Estimación de pérdidas de swaps de tipos de interés: enfoque global vs. enfoque delta
LA  - spa
PY  - 1999
SP  - 793
EP  - 816
T2  - Revista española de financiación y contabilidad
SN  - 0210-2412
VL  - 101
PB  - Asociación Española de Contabilidad y Administración de Empresas, AECA
PP  - Madrid
AB  - The growing importance of the international derivatives markets has originated different pricing models, wich evaluate the potential market risk supported by the investors. Specifically we studied interest rate swaps. In this sense, some models are too simple and not reflect the real market risk associated to this instrument.

This paper intends to improve these models. Our proposal analyses preously the historic interest rates movements and supposes interest rates fllows this trend. So it does not evaluate the potential losses from an initial unreal assumption, as the others models. 


UR  - https://portalciencia.ull.es/documentos/5ea21bc72999521f7d51f921
DP  - Dialnet - Portal de la Investigación
ER  -