Diseño y valoración de coberturas cruzadas en Colombia

Abstract

This research aims to design and evaluate cross hedging in different sectors such as energy, real state and finance in Colombia. Proper use of hedges allows to achieve profitability targets, reduce risk exposure for greater business efficiency. Cross hedging is one of the most important risk management strategies that a company can use to mitigate exposure to fluctuations in the prices of their commodities. In financial markets, cross hedging is a suitable form to manage risks and to compensate for expected losses. Cross hedging can be designed through financial derivatives such as futures, forwards, options and swaps. The main objective of the hedge is to reduce the risk of a real or financial asset by investing in derivative which has a high correlation. To achieve the objective of this research a theoretical description of cross hedging, the identification of criteria for the choice of optimal contracts, the selection of derivatives contracts and calculating the size of contracts for cross coverage are needed. The application of econometric techniques is required to estimate the optimal hedge ratio, the design and assessment of cross optimal coverage and the analysis of the effectiveness of cross hedging.