Interest risk management of fixed income securities subject to credit risk.

摘要

The objective of this research is to investigate the effect that has the inclusion of the credit risk for managing interest risk, as well as to contribute tools and valid models for the portfolio management that they contain this securities and be appropriate to the Spanish market.;To reach the described objectives, the investigation work has been structured in three parts that she understands six chapters, being dedicated an additional chapter to the conclusions.;The first part, is devoted to the description of the Spanish fixed income markets, the key aspects of this market and a classification of the models of valuation of assets that incorporate the credit risk. The second part studies the interest risk management of fixed income securities subject to credit risk, through the different models that use the default duration as useful tool. Starting from the limitations that duration use has (considers parallel movements of interest rate term structure and variations of small size in the same ones), an alternative model intends that overcomes the limitations of the duration of Macaulay when they incorporate credit risk securities. In the third part, of empiric nature, the pattern is applied proposed to the Spanish market using different methodology. This way it is determined the sensibility of changes in risk free interest rate on the default yields, is bigger or smaller than that of the titles not subject to the credit risk, using the cointegracion analysis and conditional volatility.;The empiric work is based on the non stationarity of the series and in a changing conditional variance along the time. The obtained results reflect that the sensibility of the credit risk securities is smaller than that of the titles of Public Debt, what implies that the duration of the titles subject to credit risk is smaller than that of the titles of the State.