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Valoración de BTH a tipo fijo con diferentes metodologías
Cristobal González and Mª Paz Jordá |
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The interest-driven prepayment risk in the so-called Bonos de Titulización Hipotecaria (BTH or Spanish mortgage-backed securities) is usually obviated in their valuation by the Spanish firms. These firms generally work as if the securities’ cash flows were independent of the interest rates. In this paper a fixed rate BTH is valued by using two different approaches with the purpose of checking whether the obtained results with the method that keeps in mind the dependence of the cash flows to the interest rates justifies the biggest inherent difficulties to its employment. The results show that the obtained differences between static and dynamic approaches can be of certain importance, although they are more dependent on the hypotheses assumed in the concrete simulation procedure used in the dynamic approach than the fact of working with one approach or another.
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