| dc.contributor | Castro, Carlos | |
| dc.creator | Vásquez Galindo, Lina | |
| dc.date.accessioned | 2015-11-13T20:37:37Z | |
| dc.date.available | 2015-11-13T20:37:37Z | |
| dc.date.created | 2015-11-13T20:37:37Z | |
| dc.date.issued | 2015 | |
| dc.identifier | http://repository.urosario.edu.co/handle/10336/11504 | |
| dc.identifier | https://doi.org/10.48713/10336_11504 | |
| dc.description.abstract | The estimation and interpretation of the interest rates term structures of great relevance because it allows to make predictions, is an important key to policy makers on monetary and fiscal decisions, is essential in risk management and also is an input for the right assessment of many financial assets. For these reasons is necessary to understand what can cause movements in the term structure. These paper estimates a "Three factors exponential affine model" applied to the Colombian sovereign debt yield in pesos. The estimated factors are the short-term rate, it's long term mean and volatility. The data used corresponds to the period between January of 2010 and May of 2015, and also a correlation analysis between the three mentioned factors is performed. Following, with the three factors estimated a regression to identify the importance of each one in the behavior of the Colombian sovereign debt rates for different terms to maturity is performed. Finally, the term structure for the Colombian interest rates is estimated and the relation between the three factors with those founded by Litterman and Scheinkman [1991] corresponding to the level, slope and curvature is identified. | |
| dc.language | spa | |
| dc.publisher | Universidad del Rosario | |
| dc.publisher | Maestría en Finanzas Cuantitativas | |
| dc.publisher | Facultad de Economía | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/co/ | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | Abierto (Texto completo) | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Colombia | |
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POLITICA DE TRATAMIENTO DE DATOS PERSONALES. Declaro que autorizo previa y de forma informada el tratamiento de mis datos personales por parte de LA UNIVERSIDAD DEL ROSARIO para fines académicos y en aplicación de convenios con terceros o servicios conexos con actividades propias de la academia, con estricto cumplimiento de los principios de ley. Para el correcto ejercicio de mi derecho de habeas data cuento con la cuenta de correo habeasdata@urosario.edu.co, donde previa identificación podré solicitar la consulta, corrección y supresión de mis datos. | |
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| dc.source | instname:Universidad del Rosario | |
| dc.source | reponame:Repositorio Institucional EdocUR | |
| dc.subject | Estructura a plazo | |
| dc.subject | Modelos Afines | |
| dc.title | Estructura a plazo Colombia : modelo afín de tres factores | |
| dc.type | masterThesis | |
