Inmunización del riesgo de crédito de un bono soberano en un ambiente de ingreso fiscal volátil: el caso de un bono mexicano denominado en dólares de Estados Unidos

Abstract

In this paper we use Merton’s (1976) jump diffusion model and Heston-Nandi stochastic volatility model (2000) for pricing options when the underlying asset is driven by a mixed diffusion-jump process or GARCH volatility process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax collection. In particular, we analize the case of a sovereign bond issued by the Mexican government in United States Dollars (to ensure the existence of default risk). The proposed methodology is based on concepts such as: previous leverage, income generation, non-recurring expenses, term and loan size (traditionally used in the calculation of probabilities of default), which provides an alternative methodology for computing a priori default probabilities.