Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market
The valuation of stock exchange instruments for the formation of investment portfolios is one of the great financial challenges of recent years. In Ecuador, the stock market is in a period of growth, especially in fixed income securities: these representing more than 95 % of the negotiations carried...
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| Үндсэн зохиолч: | |
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| Бусад зохиолчид: | , |
| Формат: | article |
| Хэл сонгох: | spa |
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2021
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| Нөхцлүүд: | |
| Онлайн хандалт: | https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290 |
| Шошгууд: |
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Шошго нэмэх | _version_ | 1858113930699735040 |
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| author | Ojeda, Andrés |
| author2 | Jácome, Sebastián Guachamín, Marcela |
| author2_role | author author |
| author_facet | Ojeda, Andrés Jácome, Sebastián Guachamín, Marcela |
| author_role | author |
| collection | Revista Cuestiones Económicas |
| dc.creator.none.fl_str_mv | Ojeda, Andrés Jácome, Sebastián Guachamín, Marcela |
| dc.date.none.fl_str_mv | 2021-12-15 |
| dc.format.none.fl_str_mv | application/pdf text/html |
| dc.identifier.none.fl_str_mv | https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290 10.47550/RCE/31.2.3 |
| dc.language.none.fl_str_mv | spa |
| dc.publisher.none.fl_str_mv | Banco Central del Ecuador |
| dc.relation.none.fl_str_mv | https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290/291 https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290/297 |
| dc.rights.none.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.source.none.fl_str_mv | Cuestiones Económicas; Vol. 31 Núm. 2 (2021): Revista Cuestiones Económicas; Autores: Andrés Ojeda, Sebastián Jácome y Marcela Guachamín 2697-3367 2697-3367 reponame:Revista Cuestiones Económicas instname:Banco Central del Ecuador instacron:BCE |
| dc.subject.none.fl_str_mv | Financial instruments Logit Risk rating Yield curve Rate risk Instrumentos financieros Logit Clasificación de riesgo Curva de rendimiento Tasa de riesgo |
| dc.title.none.fl_str_mv | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market Tasa libre de riesgo ponderada y evaluación de riesgos de solvencia de las empresas de títulos de renta fija para el mercado bursátil ecuatoriano |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Artículos de Investigación |
| description | The valuation of stock exchange instruments for the formation of investment portfolios is one of the great financial challenges of recent years. In Ecuador, the stock market is in a period of growth, especially in fixed income securities: these representing more than 95 % of the negotiations carried out in the stock market nationwide in 2019. In this paper, the methodology published by the National Securities Council in 2009 is used for the valuation at prices of market of fixed income securities with the objective of obtaining a discount rate. This is done through calculating the yield curve of sovereign bonds and then applying margins grouping for titles with similar characteristics. The present research work proposes to develop two contributions to this Valuation Operational Manual, given that a little more than a decade has passed since its last development and the current reality us different from that of approxi[1]mately 10 years ago. First, this paper interpolates the internal debt bond curve using the Nelson, Siegel (1987) and Svensson (1994) methodology based on the data of the bond yields for the last quarter of 2019. In addition, in order to obtain a real valuation of the securities traded on the Ecuadorian stock market, a rating system of risk that assesses the stability or solvency of the issuers that trade their securities on the stock market through a binomial logit model is proposed |
| eu_rights_str_mv | openAccess |
| format | article |
| id | REVCUESTEC_b31df39241c65480039b52279f7e320e |
| identifier_str_mv | 10.47550/RCE/31.2.3 |
| instacron_str | BCE |
| institution | BCE |
| instname_str | Banco Central del Ecuador |
| language | spa |
| network_acronym_str | REVCUESTEC |
| network_name_str | Revista Cuestiones Económicas |
| oai_identifier_str | oai:estudioseconomicos.bce.fin.ec:article/290 |
| publishDate | 2021 |
| publisher.none.fl_str_mv | Banco Central del Ecuador |
| reponame_str | Revista Cuestiones Económicas |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | Revista Cuestiones Económicas - Banco Central del Ecuador |
| repository_id_str | |
| spelling | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock marketTasa libre de riesgo ponderada y evaluación de riesgos de solvencia de las empresas de títulos de renta fija para el mercado bursátil ecuatorianoOjeda, AndrésJácome, Sebastián Guachamín, MarcelaFinancial instrumentsLogitRisk ratingYield curveRate riskInstrumentos financierosLogitClasificación de riesgoCurva de rendimientoTasa de riesgoThe valuation of stock exchange instruments for the formation of investment portfolios is one of the great financial challenges of recent years. In Ecuador, the stock market is in a period of growth, especially in fixed income securities: these representing more than 95 % of the negotiations carried out in the stock market nationwide in 2019. In this paper, the methodology published by the National Securities Council in 2009 is used for the valuation at prices of market of fixed income securities with the objective of obtaining a discount rate. This is done through calculating the yield curve of sovereign bonds and then applying margins grouping for titles with similar characteristics. The present research work proposes to develop two contributions to this Valuation Operational Manual, given that a little more than a decade has passed since its last development and the current reality us different from that of approxi[1]mately 10 years ago. First, this paper interpolates the internal debt bond curve using the Nelson, Siegel (1987) and Svensson (1994) methodology based on the data of the bond yields for the last quarter of 2019. In addition, in order to obtain a real valuation of the securities traded on the Ecuadorian stock market, a rating system of risk that assesses the stability or solvency of the issuers that trade their securities on the stock market through a binomial logit model is proposedLa valoración de los instrumentos bursátiles para la formación de carteras de inversión es uno de los grandes retos financieros de los últimos años. En Ecuador, el mercado de valores se encuentra en un período de crecimiento, especialmente en valores de renta fija: estos representan más del 95% de las negociaciones realizadas en el mer[1]cado de valores a nivel nacional en 2019. En este trabajo, la metodología publicada por el CNV en 2009 se utiliza para la valoración a precios de mercado de valores de renta fija con el objetivo de obtener una tasa de descuento. Mediante el cálculo de la curva de rendimiento de los bonos soberanos, luego aplicar la agrupación de márgenes para títulos con características similares. El presente trabajo de investigación propone desarrollar dos aportes a este Manual Operativo de Valoración, dado que ha pasado poco más de una década desde su último desarrollo y la realidad actual nos diferencia de la de hace aproximadamente 10 años. En primer lugar, este trabajo interpola la curva de bonos de deuda interna utilizando la metodología de Nelson, Siegel y Svensson con base en los datos de los rendimientos de los bonos del último trimestre de 2019. Además, con el fin de obtener una valoración real de los valores negociados en la bolsa de valores ecuatoriana, se propone un sistema de calificación de riesgo que evalúa la estabilidad o solvencia de los emisores que negocian sus valores en la bolsa de valores a través de un modelo logit binomial.Banco Central del Ecuador2021-12-15info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículos de Investigaciónapplication/pdftext/htmlhttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/29010.47550/RCE/31.2.3Cuestiones Económicas; Vol. 31 Núm. 2 (2021): Revista Cuestiones Económicas; Autores: Andrés Ojeda, Sebastián Jácome y Marcela Guachamín2697-33672697-3367reponame:Revista Cuestiones Económicasinstname:Banco Central del Ecuadorinstacron:BCEspahttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290/291https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290/297info:eu-repo/semantics/openAccess2021-12-16T16:04:51Zoai:estudioseconomicos.bce.fin.ec:article/290Portal de revistashttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCEOrganismo de gobiernowww.bce.fin.echttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/oaiEcuadoropendoar:2021-12-16T16:04:51falsePortal de revistashttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCEOrganismo de gobiernowww.bce.fin.echttps://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/oaiEcuadoropendoar:2021-12-16T16:04:51Revista Cuestiones Económicas - Banco Central del Ecuadorfalse |
| spellingShingle | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market Ojeda, Andrés Financial instruments Logit Risk rating Yield curve Rate risk Instrumentos financieros Logit Clasificación de riesgo Curva de rendimiento Tasa de riesgo |
| status_str | publishedVersion |
| title | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| title_full | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| title_fullStr | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| title_full_unstemmed | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| title_short | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| title_sort | Weighted risk-free rate and solvency risk assessment of fixed-income security companies for the Ecuadorian stock market |
| topic | Financial instruments Logit Risk rating Yield curve Rate risk Instrumentos financieros Logit Clasificación de riesgo Curva de rendimiento Tasa de riesgo |
| url | https://estudioseconomicos.bce.fin.ec/index.php/RevistaCE/article/view/290 |