Estimación de curvas de rendimiento para activos de renta fija en el mercado ecuatoriano. Aplicaciones en el Instituto Ecuatoriano de Seguridad Social (IESS)

Abstract

The present study was planned with the objective of defining an appropriate methodology for managing the fixed income investments in the Ecuadorian market. Its proper managementh as a vital importance to all investors in the country; in particular, to protect the interests of members of the Ecuadorian Institute of Social Security. This leads to determine more precisely whether the yields offered for the investments of the IESS bankare convenient, for which it’s necessary to build yield curves according to the type and the asset risk involved, which will serve to select the investments efficiently. The BIESS manages an investments portfolio that represents the greater part of the country’s financial market, and it analyzes its investments with the adjustment of the functions that are developed with the Excel utilitarian that does not necessarily reflect accurately the actual performance of the yield curves of the investments. To estimate yield curves, the most important methodologies as Nelson and Siegel, Svensson and Splines are used in the Word, specially in neighboring countries us Colombia. These methodologies are contrasted with the one most commonly used in the BIESS.