Cobertura de riesgo de tasa de interés en cupones de tasa flotante

Abstract

The issues of fixed rate bonds exposes Banks to interest rate risk, which can be managed with an interest rate swap (IRS). However, a shift in the yield curve could modify the net flow payments, generating losses in the hedging sstrategy. In Colombia, the use of interes rate derivatives has increased in the last ten years since the creation of the IBR, hence the importance of evaluating different types of IRS that adjust to the market variations to a more effective management of interest rate risk. Following the methodology of the work of (Schröder & Dunbar, 2010), three swaps structures are applied to colombian market evaluating the result of each one on shifts in the yield curve.