Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging

A valuation model for SVS bonds in pesos with put options, against exchange rate risk, is developed. A numerical model incorporating an early put option is proposed, based on comparing the current dollar strike price with the present value of the bond in future dollars. It allows calculating the str...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autor principal: Milanesi, Gastón Silverio
Formato: Artículo revista
Lenguaje:Español
Publicado: Facultad de Ciencias Económicas de la Universidad Nacional del Nordeste - UNNE 2025
Materias:
SVS bonds
abandonment option
binomial
parity theorie
exchange rate risk
bonos SV
opción de abandono
teorías de paridad
riesgo tipo de cambio
Acceso en línea:https://revistas.unne.edu.ar/index.php/rfce/article/view/8872
Aporte de:
Revistas UNNE - Universidad Nacional del Noroeste (UNNE) de Universidad Nacional del Nordeste
id I48-R154-article-8872
record_format ojs
spelling I48-R154-article-88722025-12-11T13:44:54Z Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging Ingeniería financiera de bonos SVS para el mercado de capitales argentino: opción de venta anticipada y seguro de tipo de cambios Milanesi, Gastón Silverio SVS bonds abandonment option binomial parity theorie exchange rate risk bonos SV opción de abandono binomial teorías de paridad riesgo tipo de cambio A valuation model for SVS bonds in pesos with put options, against exchange rate risk, is developed. A numerical model incorporating an early put option is proposed, based on comparing the current dollar strike price with the present value of the bond in future dollars. It allows calculating the strategic value of the bond, composed of its present value plus the abandonment option. The stochastic process is binomial, based on reference rates in the market denominated in local currency and US dollars. Exchange rate conversions and projections are grounded in interest rate parity theories, future exchange rate, the law of one price, and the Fisher effect. Case analysis is conducted using classic performance indicators such as nominal, real return, duration, modified duration, and convexity. Subsequently, maintaining the currency and structure of the instrument in pesos, a bond with a rescission option convertible into foreign currency is developed, and tested with two hypothetical volatility scenarios on reference interest rates. The effectiveness of the early put option as a hedging instrument against exchange rate risk and its potential attractiveness for developing a liquid market in domestic current are concluded. JEL: G13; G18. Se desarrolla un modelo de valuación de bonos SVS en pesos con opciones de venta, frente al riesgo del tipo de cambio. Se propone un modelo numérico incorporando opción de venta anticipada, a partir de comparar el precio de ejercicio en dólares actuales, con el valor actual del bono en dólares futuros. Permite calcular el valor estratégico del bono, compuesto por su valor actual más opción de abandono. El proceso estocástico es binomial sobre las tasas de referencias en el mercado nominadas en moneda local y dólares estadounidenses. Las conversiones y proyecciones de tipo de cambio encuentran sustento en las teorías de paridad de los tipos de interés, tipo de cambio futuro, ley del precio único y efecto Fisher. Se utiliza el análisis de casos en administración, con las ON clase 8 Pampa Energía SVS (pesos) y ON clase X YPF SVS del año 2022 (dólares). El análisis se realiza con indicadores clásicos de rendimiento nominal, real, duración, duración modificada y convexidad.  Seguidamente, respetando la moneda y estructura del instrumento en pesos, se desarrolla un bono con opción de rescate convertible en moneda extranjera y se testea con dos escenarios hipotéticos de volatilidad sobre tasas de interés de referencia. Se concluye sobre la eficacia de la opción de venta anticipada como instrumento de cobertura frente al riesgo del tipo de cambio y el potencial atractivo para el desarrollo de un mercado liquido en pesos. JEL: G13; G18. Facultad de Ciencias Económicas de la Universidad Nacional del Nordeste - UNNE 2025-12-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.unne.edu.ar/index.php/rfce/article/view/8872 10.30972/rfce.3528872 Revista de la Facultad de Ciencias Económicas; Vol. 35 Núm. 2 (2025); 1-18 1668-6365 1668-6357 spa https://revistas.unne.edu.ar/index.php/rfce/article/view/8872/8530 Derechos de autor 2025 Revista de la Facultad de Ciencias Económicas http://creativecommons.org/licenses/by-nc-sa/4.0
institution Universidad Nacional del Nordeste
institution_str I-48
repository_str R-154
container_title_str Revistas UNNE - Universidad Nacional del Noroeste (UNNE)
language Español
format Artículo revista
topic SVS bonds
abandonment option
binomial
parity theorie
exchange rate risk
bonos SV
opción de abandono
binomial
teorías de paridad
riesgo tipo de cambio
spellingShingle SVS bonds
abandonment option
binomial
parity theorie
exchange rate risk
bonos SV
opción de abandono
binomial
teorías de paridad
riesgo tipo de cambio
Milanesi, Gastón Silverio
Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
topic_facet SVS bonds
abandonment option
binomial
parity theorie
exchange rate risk
bonos SV
opción de abandono
binomial
teorías de paridad
riesgo tipo de cambio
author Milanesi, Gastón Silverio
author_facet Milanesi, Gastón Silverio
author_sort Milanesi, Gastón Silverio
title Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
title_short Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
title_full Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
title_fullStr Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
title_full_unstemmed Financial engineering of SVS bonds for the Argentine capital market: early redemption option and exchange rate hedging
title_sort financial engineering of svs bonds for the argentine capital market: early redemption option and exchange rate hedging
description A valuation model for SVS bonds in pesos with put options, against exchange rate risk, is developed. A numerical model incorporating an early put option is proposed, based on comparing the current dollar strike price with the present value of the bond in future dollars. It allows calculating the strategic value of the bond, composed of its present value plus the abandonment option. The stochastic process is binomial, based on reference rates in the market denominated in local currency and US dollars. Exchange rate conversions and projections are grounded in interest rate parity theories, future exchange rate, the law of one price, and the Fisher effect. Case analysis is conducted using classic performance indicators such as nominal, real return, duration, modified duration, and convexity. Subsequently, maintaining the currency and structure of the instrument in pesos, a bond with a rescission option convertible into foreign currency is developed, and tested with two hypothetical volatility scenarios on reference interest rates. The effectiveness of the early put option as a hedging instrument against exchange rate risk and its potential attractiveness for developing a liquid market in domestic current are concluded. JEL: G13; G18.
publisher Facultad de Ciencias Económicas de la Universidad Nacional del Nordeste - UNNE
publishDate 2025
url https://revistas.unne.edu.ar/index.php/rfce/article/view/8872
work_keys_str_mv AT milanesigastonsilverio financialengineeringofsvsbondsfortheargentinecapitalmarketearlyredemptionoptionandexchangeratehedging
AT milanesigastonsilverio ingenieriafinancieradebonossvsparaelmercadodecapitalesargentinoopciondeventaanticipadaysegurodetipodecambios
first_indexed 2025-12-17T05:00:26Z
last_indexed 2025-12-17T05:00:26Z
_version_ 1851730298309443584

Ejemplares similares