CAPTULO 10: MEDICIN DE LA EXPOSICIN A LASFLUCTUACIONES
CAMBIARIASFINANZAS INTERNACIONALESSOPHIA CORREAWILMAN GUAGCHATIPOS
DE EXPOSICIN La exp!"#"$% a &a! '(#)(a#"%e! *+,"-#a#"%e! e%
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e.a&(a/ &a exp!"#"$% a &a )/a%!a##"$% (%a CMN /e3("e/e:
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e& "+pa#) p)e%#"a& e% &a ,"."!a exp(e!)a8ESTIMACIN DE
LOS FLU9OS DE EFECTI:O ;NETOS< EN CADA DI:ISA A%)"#"pa/ &!
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,e (%a CMN /e!pe#) a #a,a ,"."!a8E9EMPLO M"a+" C8 &&e.a a
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"%#e/)",(+1/e a#e/#a ,e &a! e%)/a,a!!a&",a! e% #a,a +%e,a
ex)/a%4e/a=MEDICIN DEL IMPACTO POTENCIAL DE LA EXPOSICIN DE
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,"2e/e%)e! >/a,!08APLICACIN DE LAS CORRELACIONES DE DI:ISAS A
LOS FLU9OS DE EFECTI:O NETOSLa! "+p&"#a#"%e! ,e &a!
#//e&a#"%e! ,e ,"."!a! pa/a (%a ,e)e/+"%a,a CMN ,epe%,e% De
&! '(4! ,e e2e#)".8 La e#(a#"$% pa/a &a ,e!."a#"$% e!)C%,a/
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!( p!"#"$% ,e '(4 ,e e2e#)". %e) e!pe/a, e% pe!!E:ALUACIN DE LA
EXPOSICIN A LA TRANSACCIN CON BASE EN EL :ALOR EN RIESGO Ce&"a
C8 /e#"1"/C +aMa%a 10 +"&&%e! ,e pe!! +ex"#a%! *MXP0 #+
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,e!."a#"$% e!)C%,a/ ,e &! #a+1"! p/#e%)(a&e! ,"a/"! ,e&
pe! +ex"#a% !ea ,e 187 p/ #"e%) ,(/a%)e &! D&)"+! 100 ,La!8
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&a! p!"#"%e! ,e (%a CMN 3(e e!)C exp(e!)a a &! +."+"e%)!
#a+1"a/"!8E9EMPLO Suponga que el tipo de cambio spot del peso es de
$0.09. Pesos mexicanos 10 millonesD"!+"%(#"$% pe! KQ *1=RK0 ,e NKQ
N".e& #%-a%IaCa+1" p/#e%)(a& 1=7QCa+1"! ,La !">8
0QFACTORES SUE AFECTAN LA PTRDIDA MUXIMA DE UN DA10 La p?/,",a
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e!:APLICACIN DEL :AR A LA EXPOSICIN A LA TRANSACCIN DE
UNPORTAFOLIO8D"."!a D"."!a D"."!a P/)a2&" !2)Wa/e pa/a
/ea&"Ia/ &! #C(&!E9EMPLO
Benou,Inc.,comoempresaexportadoraestadounidenseesperarecibirpagossustanciales
denominados en rupias indonesas y en bahts tailandeses en un mes.
Conbaseenlostiposdecambiospotdehoy,elvalorendlaresdelosfondosarecibirsese
estim en $600,000 por rupia y $400,000 por el baht. Por tanto,
Benou, Inc. est expuesto a un
portafoliodedivisascon!porcientoderupiasy"!porcientodebahts.Benou,Inc.desea
determinar la p#rdida mxima esperada de un mes debida al declive
potencial en el valor de esas divisas, con base en un nivel de
confian$a de %& por ciento. Con base en los datos de al menos
'! meses, estima la desviacin estndar de los cambios porcentuales
mensuales de ( por ciento para la rupia y ) por ciento para el baht
y un coeficiente de correlacin de !.&! entre la rupia y el
baht. *a desviacin estndar del portafolio es+PERDIDA MUXIMA DE UN
MES DEL PORTAFOLIO DE DI:ISASCa+1" p/#e%)(a& ,e&
!">("e%)e +e!8 COMPARE ESTA PTRDIDA MUXIMA DE UN MES CON LA DE
LA RUPIA O EL BAHT:e2e#)! ,e ,".e/!"-#a#"$%RUPIA BAHTEXPOSICIN
ECONMICALa !e%!"1"&",a, ,e &! '(4! ,e e2e#)".,e &a
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pe/a)".aexp!"#"$% pe/a)".aexp!"#"$% a &a )/a%!a##"$%exp!"#"$% a
&a )/a%!a##"$%DEBE CONSIDERARSE SUE: #a,a e4e+p& #+ !"
&a e+p/e!a % )(."e/a %"%>(% %e>#"
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&a ,ep/e#"a#"$% ,e &a +%e,a a&Exp!"#"$% e#%$+"#a a
&a ap/e#"a#"$% ,e &a +%e,a a&EXPOSICIN ECONMICA DE LAS
EMPRESAS NACIONALESA(%3(e e!)e &"1/ !e e%2#a e% &a
a,+"%"!)/a#"$% -%a%#"e/a ,e &a! CMN= "%#&(! &a!
e+p/e!a! p(/a+e%)e a&e! !e .e% a2e#)a,a! p/ &a exp!"#"$%
e#%$+"#a8Medicin de la exposicin econmicaU! ,e& a%C&"!"! ,e
!e%!"1"&",a, pa/a +e,"/ &a exp!"#"$% #%!",e/a/C%!",e/a/ p/
!epa/a, #$+ !e .e% a2e#)a,a! &a! #a)e>/La! ,e .e%)a! 6
>a!)! p/ ,"2e/e%)e! e!#e%a/"! ,e )"p ,e #a+1" e#%$+"#a8USO DEL
ANULISIS DE REGRESIN PARA MEDIR LA EXPOSICIN ECONMICA8PCF) E#a+1"
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e& #a+1" e% e& .a&/ ,e &a ,"."!a 6 &! '(4! ,e
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a2e#)a !(! ()"&",a,e! #%!&",a,a!= p(e,e a2e#)a/ &a
.a&(a#"$% ,e (%a CMNDETERMINANTES DE LA EXPOSICIN A LA
CON:ERSINLa p/p/#"$% ,e !( %e>#" /ea&"Ia, p/ !(1!","a/"a!
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#(a& ,epe%,e ,e & !">("e%)e:MTTODOS CONTABLES18 La
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