Tasa libre de riesgo ponderada y evaluación de riesgo de solvencia de las empresas de títulos de renta fija para el mercado bursátil ecuatoriano

Abstract

The valuation of stock exchange instruments for the formation of investment portfolios is one of the great financial challenges of recent years. In Ecuador, the stock market is in a period of growth, especially in fixed income securities, these representing more than 95% of the negotiations carried out in the stock market nationwide in 2019. Currently, for the valuation at prices of market of fixed income securities, the methodology published by the National Securities Council in 2009 is used, with the objective of obtaining a discount rate by calculating the yield curve of sovereign bonds and then applying margins grouping for titles with similar characteristics. Having passed a little more than a decade, and reflecting a reality different from that of approximately 10 years ago, the present research work proposes to develop two contributions to this Valuation Operational Manual. First, interpolate the internal debt bond curve using the Nelson, Siegel and Svensson methodology based on the data of the bond yields for the last quarter of 2019. In addition, a rating system of risk that assesses the stability or solvency of the issuers that trade their securities on the stock market through a binomial Logit model, in order to obtain a real valuation of the securities traded on the Ecuadorian stock market based on the financial situation of the issuing company and the current market situation.