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 MARTÁN GUZMÁN´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...
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Artículo publishedVersion |
| Lenguaje: | Español |
| Publicado: |
Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
2020
|
| Materias: | |
| 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 |
| Aporte de: |
| Sumario: | 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. |
|---|