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XXVI-EE-2008-S03-Ruiz

XXVI-EE-2008-S03-Ruiz

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Published by: goodieblue on Aug 22, 2009
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05/11/2014

 
LERP
1
Valor Relativo yAversión al Riesgo
Un enfoque alternativo en medio de la crisis
Econ. Lucero Ruiz
Noviembre 2008
XXVI ENCUENTRO DE ECONOMISTAS DELBANCO CENTRAL DE RESERVA DEL PERÚ
 
LERP
2
Motivación
La actual crisis financieraha deterioradoel valor de los instrumentoscon riesgocrediticiodebido a :
Problemasde Liquidez
Aversiónal Riesgo
La crisiscomenzócon los instrumentoscuyoscolateraleserandeudassubprimesobre hipotecasde bajacalidad afectando inclusoinstrumentosde mayorcalidadcrediticia comodeudacorporativa.
 
LERP
3
EfectosSubprimey crisiscrediticia generaronmayorvolatilidad
Fuente:Bloomberg, UBS Global Asset Management
Rendimientode BonosTesoroAmericano(%) ydecisionesdel FED respectoa sutasabase
3.503.754.004.254.504.755.005.255.505.756.00JanFebMarAprMayJunJulAugSepOctNovDecRallySell-offUSD 10ySubprimeproblemasEmergenSell-offmuestraproblemastodavíaPrimera ola dewritedowns,+ dataInmobiliaria débilSegundaola dewrite-downs –50 bpStatementNo programadot. descuentoRecorte50 bp –25 bp –25 bpsubsisten

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