Posts Tagged ‘tasa libre de riesgo

13
Oct
11

Fun & Finance: #15, Charla sobre la Tasa Libre de Riesgo

En este episodio, Manuel le explica a Gaston que es la Tasa Libre de Riesgo y -de forma introductoria- que rol juega en los modelos de pricing de activos.

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30
Aug
10

Base de datos: Deuda Publica USA

James Hamilton en EconBrowser tuvo la gentileza de compartir su base de datos sobre Deuda Publica Norteamericana para que otros investigadores la pudiera usar.

I have been working on a project with UCSD graduate student Cynthia Wu to try to assess the potential for the Federal Reserve to continue to influence long-term interest rates even when the short-term interest rate is essentially at zero. I’ll be relating the conclusions from that research in a few days. But first I’d like to call attention to a new data set that we developed on the maturity structure of publicly-held debt which may be of interest to other researchers. As Paul Krugman likes to warn, this one is just for the wonks.

01
Mar
10

Bond Vigilantes

Ese es el nombre de un blog britanico, que se catacteriza por tener posts muy explicativos. Los siguientes dos son un ejemplo de ello.

What is the risk free rate anyway?

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The complete absence of risk has always been more observable in theory than in practice but in the last month or so, swap rates have fallen below gilt yields – can it be right that the lowest interest rate in the market is lower than the traditional risk free rate?  Are government bonds still the right instrument with which to observe the risk free rate?

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Sovereign CDS Q&A

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Q:  Can I estimate probabilities of sovereign default from CDS prices?

A:  Yes, with the cavaet that like all financial instruments, prices are driven by fear and greed and may not reflect the fundamentals.   You need to have an assumption for a recovery rate – let’s use 39% as the average.  So if Greek 5 year CDS is trading at 400 bps per year, this means that in any one year you anticipate a pre-default spread of (4% x 100/(100-39)) = 6.56%, which given markets are efficient (!) must equate with the expected one year default rate.  So on the back of an envelope, ignoring the impact of compounding and the expected timing of a default, the cumulative expected default rate for Greece over the next 5 years is 5 x 6.56%, or over 30%.

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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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