Publicaciones CREM / Papers


El Sistema de Pensiones en Chile: Una Reflexión Sobre Dos Temas Ignorados

El sistema de pensiones chileno, en estos momentos, está siendo analizado por un grupo de expertos (la Comisión Bravo) cuyos miembros fueron nombrados por el gobierno.  El objetivo de la Comisión Bravo es hacer un diagnóstico del sistema y sugerir medidas que lo puedan mejorar [...]

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publicacion 8

Credit-Ratings and the Mexican Fixed-Income Market: Agreements, Discrepancies and Inconsistencies

Credit ratings play a significant role in the fixed income markets as the entire regulatory framework is based on them.  Thus, a significant part of what investors can and cannot do is dictated by ratings.  Moreover, regulators and legislators have assumed that the credit rating scales of the [...]

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A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Banking systems are at the center of the financial infrastructure of any country.  It has become apparent after the subprime crisis that such systems cannot be studied by looking at their components individually (that is, in isolation).  Thus, an integrated approach is needed.
In this paper we introduce [...]

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Fixed Income Portfolios Subject to Credit Risk: Rethinking the Fundamentals

The subprime crisis shook the foundations of the global financial system and exposed the weaknesses behind current credit-risk models. We argue that tweaking or fine-tuning such models is unlikely to improve their predictive capabilities as they were not designed to capture the trimodal hape of the [...]

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Redes Bancarias y Riesgo Sistémico: Desarrollo de un Algoritmo de Análisis y Diagnóstico

En este trabajo se construye un modelo que permite analizar un sistema bancario mediante un enfoque de teoría de redes. El modelo constituye una herramienta práctica que permite identificar las vulnerabilidades del sistema y evaluar los costos-beneficios de la potencial respuesta mitigadora de un regulador [...]

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Valuation of Projects with Minimum Revenue Guarantees: A Gaussian Copula-Based Simulation Approach

This article presents a numerical simulation technique to perform valuations of infrastructure projects with minimum revenue guarantees (MRG).  It is assumed that the project cash flows–in the absence of the MRG–can be described in a probabilistic fashion by means of a very general multivariate distribution function [...]

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Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

Credit risk derivatives and securitization techniques are difficult topics to teach.  Most students have preconceived ideas about them.  Some of them are quite wrong.  And frequently many students feel that there is almost something like “black magic” behind the concept that one can create Aaa-securities out of [...]

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On the Actual Behavior of Credit Derivatives Based on Homogeneous Reference Portfolios

We apply an analytical approach to analyze two credit-derivative investments: (i) a synthetic index linked to high-yield corporates; and (ii) an actual transaction based on mortgage bonds. We show that the conventional approach to analyze these structures (Monte Carlo simulations combined with the Gaussian copula) fails [...]

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The Discounted Cash Flow (DCF) Method Applied to Valuation: Too Many Uncomfortable Truths

What is the value of an asset? That is, arguably, the ultimate financial question, the equivalent of Hamlet’s To be or not to be. Of course, we all know the answer: the present value of the future cash flows. That much is clear. And if we push [...]

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Imagen Paper 3

“Credit Ratings and the Chilean Fixed Income Market: Some Empirical Observations”

15 enero, 2014

Credit ratings play an important role in the Chilean fixed income market since the regulatory framework relies heavily on them. We studied the ratings given by the three major credit rating agencies (Standard and Poor’s, Fitch and Moody’s) to both, structured products and corporates, between 2000 [...]

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