AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER

The Argentine market is characterized by a marked absence of instruments with optionality. The main cause is the difficulty in valuing the instruments due to high volatility and low liquidity, impacting on the volume of data and models that can be used. This work details the interest rate model of...

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Autor principal: Martos, Leandro J.
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) 2020
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Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy.
Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model.
Acceso en línea:https://ojs.economicas.uba.ar/RIMF/article/view/1968
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1968_oai
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-1968_oai
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spelling I28-R145-1968_oai2025-02-11 Martos, Leandro J. 2020-12-10 The Argentine market is characterized by a marked absence of instruments with optionality. The main cause is the difficulty in valuing the instruments due to high volatility and low liquidity, impacting on the volume of data and models that can be used. This work details the interest rate model of Black, Derman and Toy (1990) and its joint use with information on market expectations and implicit information on the issuance and exchange of instruments in pesos during the administration of Minister Martín Guzmán. We build an interest rate tree in Argentine pesos that allows the valuation of interest rate derivatives in that currency. Market expectations are collected based on the Market Expectations Survey (REM) of the Central Bank of the Argentine Republic (BCRA), while the selected issues are those made during the first part of the year 2020 in pesos adjustable by Stabilization Coefficient Reference (CER) with the objective of reformulating the financing of the treasury in national currency. El mercado argentino se caracteriza por una marcada ausencia de instrumentos con opcionalidad. La principal causa es la dificultad para valuar dichos instrumentos por la elevada volatilidad y una baja liquidez, repercutiendo en el volumen de datos y modelos que pueden ser utilizados. Este trabajo detalla el modelo de tasas de interés de Black, Derman y Toy (1990) y su utilización conjunta con la información de expectativas del mercado y la información implícita de las emisiones y canjes de instrumentos en pesos durante la gestión del ministro Martín Guzmán para construir un árbol de tasas de interés en pesos argentinos que permita la valuación de derivados de tasa de interés en dicha moneda. Las expectativas del mercado son recogidas en base al Relevamiento de Expectativas de Mercado (REM) del Banco Central de la República Argentina (BCRA), mientras que las emisiones seleccionadas son aquellas realizadas durante la primer parte del año 2020 en pesos ajustables por Coeficiente de Estabilización de Referencia (CER) con el objetivo de reformular la financiación del tesoro en moneda nacional. application/pdf text/html https://ojs.economicas.uba.ar/RIMF/article/view/1968 spa Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) https://ojs.economicas.uba.ar/RIMF/article/view/1968/2687 https://ojs.economicas.uba.ar/RIMF/article/view/1968/2717 Revista de Investigación en Modelos Financieros; Vol. 2 (2020): Revista de Investigación en Modelos Financieros; 1-22 2250-6861 2250-687X Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy. Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model. AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER UNA APLICACIÓN DEL MODELO DE BLACK, DERMAN Y TOY PARA EL CASO ARGENTINO UTILIZANDO LAS EXPECTATIVAS DEL MERCADO Y LA INFORMACIÓN IMPLÁCITA DE LAS EMISIONES Y CANJES DE LOS INSTRUMENTOS EN PESOS DURANTE LA GESTIÓN DE MARTÁN GUZMÁN info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1968_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy.
Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model.
spellingShingle Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy.
Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model.
Martos, Leandro J.
AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
topic_facet Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy.
Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model.
description The Argentine market is characterized by a marked absence of instruments with optionality. The main cause is the difficulty in valuing the instruments due to high volatility and low liquidity, impacting on the volume of data and models that can be used. This work details the interest rate model of Black, Derman and Toy (1990) and its joint use with information on market expectations and implicit information on the issuance and exchange of instruments in pesos during the administration of Minister Martín Guzmán. We build an interest rate tree in Argentine pesos that allows the valuation of interest rate derivatives in that currency. Market expectations are collected based on the Market Expectations Survey (REM) of the Central Bank of the Argentine Republic (BCRA), while the selected issues are those made during the first part of the year 2020 in pesos adjustable by Stabilization Coefficient Reference (CER) with the objective of reformulating the financing of the treasury in national currency.
format Artículo
publishedVersion
author Martos, Leandro J.
author_facet Martos, Leandro J.
author_sort Martos, Leandro J.
title AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
title_short AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
title_full AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
title_fullStr AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
title_full_unstemmed AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER
title_sort application of the black, derman and toy model for the argentine case using market expectations and implied information from the issues and exchanges of instruments in pesos during martán guzmánâ´s tenure as minister
publisher Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
publishDate 2020
url https://ojs.economicas.uba.ar/RIMF/article/view/1968
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1968_oai
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