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DIVERSIFICACIÓN INTERNACIONAL Y RIESGO DE CRÉDITO GLOBAL: UNA METODOLOGÍA PARA CONSTRUIR CARTERAS
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Jun 6, 2018
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Recientemente se ha señalado el riesgo de crédito como una causa del descenso en la capacidad de diversificación internacional; en este trabajo ofrecemos una metodología para formar una cartera de inversión en renta variable con exposición al riesgo de crédito global y con riesgo de mercado controlado. Siguiendo la metodología de descomposición factorial, reducimos la muestra de las mayores empresas internacionales a una cartera con tan solo 11 acciones, representantes de diferentes factores de riesgo, que muestran una elevada diversificación en términos de riesgo sistemático y un binomio riesgo-rentabilidad equiparable a los principales índices de renta variable internacionales.
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Martín-Bujack, K., Corzo, M. T., & Figuerola-Ferretti, I. (2018). DIVERSIFICACIÓN INTERNACIONAL Y RIESGO DE CRÉDITO GLOBAL: UNA METODOLOGÍA PARA CONSTRUIR CARTERAS. UCJC Business and Society Review (formerly Known As Universia Business Review), (58). https://doi.org/10.3232/UBR.2018.V15.N2.04
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Finanzas y Contabilidad
Citas
Ang, A. & Longstaff, F. A. (2013). Systemic sovereign credit risk: lessons from the US and Europe. Journal of Monetary Economics, 60(5), 493-510. doi: 10.1016/j.jmoneco.2013.04.009
Aretz, K., & Pope, P. F. (2013). Common factors in default risk across countries and industries. European Financial Management, 19(1), 108-152. doi: 10.1111/j.1468-036X.2010.00571.x
Augustin, P., Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. (2016). Credit default swaps: past, present, and future The Annual Review of Financial Economics 8:10.1–10.22. doi: 10.1146/annurev-financial-121415-032806
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Ben Dor, A. & Z. Xu (2015) Should equity investors care about corporate bond prices? Using bond prices to construct equity momentum strategies. The Journal of Portfolio Management 41(4): 35-49. doi: 10.3905/jpm.2015.41.4.035
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Carr, P., & L. Wu, 2010. Stock options and credit default swaps: A joint framework for valuation and estimation. Journal of Financial Econometrics 8: 409-449. doi: 10.1093/jjfinec/nbp010
Cotter, J., Gabriel, S.A. & Roll, R. (2016). Nowhere to run, nowhere to hide: asset diversification in a flat world. doi: 10.2139/ssrn.2852164
Díaz, A., Groba, J., & Serrano, P. (2013). What drives corporate default risk premia? Evidence from the CDS market. Journal of International Money and Finance, 37, 529-563. doi: 10.1016/j.jimonfin.2013.07.003
Eichengreen, B., Mody, A., Nedeljkovic, M., & Sarno, L. (2012). How the subprime crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), 1299-1318. doi: 10.1016/j.jimonfin.2012.02.002
Gebhardt, W.R., S. Hvidkjaer, & B. Swaminathan (2005). Stock and bond market integration: does momentum spill over? Journal of Financial Economics 75 (3): 651-690. doi: 10.1016/j.jfineco.2004.03.005
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011). How sovereign is sovereign credit risk? National Bureau of Economic Research. doi: 10.1257/mac.3.2.75
Longstaff, F. A., & Rajan, A. (2008). An empirical analysis of the pricing of collateralized debt obligations. The Journal of Finance, 63(2), 529-563. doi: 10.1111/j.1540-6261.2008.01330.x
Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60(5), 2213-2253. doi:10.1111/j.1540-6261.2005.00797.x
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. doi: 10.1111/j.1540-6261.1952.tb01525.x
Merton, R. C. (1974). On the pricing of corporate debt: the risk structure of interest rates. The Journal of Finance, 29(2), 449-470. doi: 10.1111/j.1540-6261.1974.tb03058.x
Pelizzon, L., Subrahmanyam, M.G., Tomio, D. & Uno, J. (2016) Sovereign credit risk, liquidity, and ECB intervention: deus ex machina? SAFE Working Paper Series, No. 95. doi: 10.2139/ssrn.2587786
Roll, R. (2013). Volatility, correlation and diversification in a multi-factor world. Journal of Portfolio Management, 38 (2), 11-18. doi:10.3905/jpm.2013.39.2.011
Aretz, K., & Pope, P. F. (2013). Common factors in default risk across countries and industries. European Financial Management, 19(1), 108-152. doi: 10.1111/j.1468-036X.2010.00571.x
Augustin, P., Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. (2016). Credit default swaps: past, present, and future The Annual Review of Financial Economics 8:10.1–10.22. doi: 10.1146/annurev-financial-121415-032806
Bai, J. (2003). Inferential theory for factor models of large dimensions. Econometrica, 71(1), 135-171. doi: 10.1111/1468-0262.00392
Ben Dor, A. & Z. Xu (2015) Should equity investors care about corporate bond prices? Using bond prices to construct equity momentum strategies. The Journal of Portfolio Management 41(4): 35-49. doi: 10.3905/jpm.2015.41.4.035
Berndt, A., & Obreja, I. (2007). The pricing of risk in european credit and corporate bond markets. ECB Working Paper. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp805.pdf?1f7634a667b6f049421abfb69ae25ce3
Berndt, A., & Obreja, I. (2010). Decomposing european CDS returns. Review of Finance, 14(2), 189-233. doi: 10.1093/rof/rfq004
Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment‐grade bonds and credit default swaps. The Journal of Finance, 60(5), 2255-2281. doi: 10.1111/j.1540-6261.2005.00798.x
Blonk, J., van der Grient, B., & de Groot, W. (2017). Credit momentum added to quant equity strategies. Robeco article for professional investors. Retrieved from https://www.robeco.com/en/insights/
Carr, P., & L. Wu, 2010. Stock options and credit default swaps: A joint framework for valuation and estimation. Journal of Financial Econometrics 8: 409-449. doi: 10.1093/jjfinec/nbp010
Cotter, J., Gabriel, S.A. & Roll, R. (2016). Nowhere to run, nowhere to hide: asset diversification in a flat world. doi: 10.2139/ssrn.2852164
Díaz, A., Groba, J., & Serrano, P. (2013). What drives corporate default risk premia? Evidence from the CDS market. Journal of International Money and Finance, 37, 529-563. doi: 10.1016/j.jimonfin.2013.07.003
Eichengreen, B., Mody, A., Nedeljkovic, M., & Sarno, L. (2012). How the subprime crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), 1299-1318. doi: 10.1016/j.jimonfin.2012.02.002
Gebhardt, W.R., S. Hvidkjaer, & B. Swaminathan (2005). Stock and bond market integration: does momentum spill over? Journal of Financial Economics 75 (3): 651-690. doi: 10.1016/j.jfineco.2004.03.005
Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011). How sovereign is sovereign credit risk? National Bureau of Economic Research. doi: 10.1257/mac.3.2.75
Longstaff, F. A., & Rajan, A. (2008). An empirical analysis of the pricing of collateralized debt obligations. The Journal of Finance, 63(2), 529-563. doi: 10.1111/j.1540-6261.2008.01330.x
Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60(5), 2213-2253. doi:10.1111/j.1540-6261.2005.00797.x
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. doi: 10.1111/j.1540-6261.1952.tb01525.x
Merton, R. C. (1974). On the pricing of corporate debt: the risk structure of interest rates. The Journal of Finance, 29(2), 449-470. doi: 10.1111/j.1540-6261.1974.tb03058.x
Pelizzon, L., Subrahmanyam, M.G., Tomio, D. & Uno, J. (2016) Sovereign credit risk, liquidity, and ECB intervention: deus ex machina? SAFE Working Paper Series, No. 95. doi: 10.2139/ssrn.2587786
Roll, R. (2013). Volatility, correlation and diversification in a multi-factor world. Journal of Portfolio Management, 38 (2), 11-18. doi:10.3905/jpm.2013.39.2.011