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Revista EIA

versão impressa ISSN 1794-1237
versão On-line ISSN 2463-0950

Resumo

ARANGO, Eduardo  e  ARROYAVE, Jaime Alberto. INTEREST RATE AND CROSS CURRENCY SWAPS AS HEDGING TOOLS FOR COLOMBIAN COMPANIES. Rev.EIA.Esc.Ing.Antioq [online]. 2011, n.16, pp.189-205. ISSN 1794-1237.

This paper aims to provide the theoretical and practical elements of the use of interest rate swaps (IRS) and cross currency swaps (CCS) by Colombian companies, as hedging tools to manage their interest and exchange rates exposures. It will proffer a deep analysis of the advantages and challenges of the use of swaps in the Colombian economic environment and provide tailored solutions to obstacles faced in areas such as the understanding of the characteristics and the associated risks of the product, the valuation under the particularities of the Colombian financial markets, and the accounting and tax treatment and its effects. This article focuses in the design of a pricing model that, applying bootstrapping and cubic splines interpolation techniques, estimates the interest rates structure allowing Colombian real sector companies to obtain indicative IRS and CCS mark to market valuations.

Palavras-chave : interest rate swaps; cross currency swaps; interest rates structure; hedging.

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