Current Projects

"A Note on the Discount for Lack of Marketability" (with Natan Goldberger) Draft

This note demonstrates that the Discount for Lack of Marketability (DLOM) derived from option-based models can be replicated using an at-the-money (ATM) put option approximation. We examine three well-known models used in the industry and show that their DLOM estimates are proportional to asset volatility, offering a consistent framework for comparison.

"Simple estimates for the US Term Premium" (with Andres Sagner) Draft

In this note we propose a simple procedure to estimate term premium (TP) for the 5 and 10-year US Treasury bond yields. The procedure is based on the Dynamic-Nelson-Siegel (DNS) model which has only one-parameter under the risk-neutral measure, which we calibrate at 94%. This allows us to obtain latent factors by inverting a 3x3 matrix, and obtaining the TP with the parameters of a VAR model estimated for the sample 1980-204. Results are in line with the TP published by the Federal Reserve of New York.

Old Working Papers

"Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso" (with Catalina Estefó) CBC Working Paper #1041

"Pension Funds and the Yield Curve: the role of Preference for Maturity" (with Mauricio Calani) CBC Working Paper #821

"How capital inflows translate into new bank lending: tracing the mechanism in Latin America" (with C. Cantú, C. Casanova, among others). BIS Working Papers #1051

"Forward Rate" [In Spanish] (with A. Fernandois and A. Sagner) CBC Working Papers #814

"A Note on Yield Spread and Output Growth" (with D. Romero) CBC Working Papers #700

"Credit Risk Indicators" [In Spanish] (with A. Alegría and C. Saavedra) CBC Working Papers #699

"Interest Rate Ceiling" [In Spanish] (with A. Sagner and C. Vio) CBC Working Papers #673

"Applications of the Binomial Model" [In Spanish] (with A. Sagner and C. G. Silva) CBC Working Papers #631

"TIR/Duration Approximation" [In Spanish] (with S. Becerra) CBC Working Papers #616

"Relative Strength Index"  [In Spanish] [In English] (with A. Sagner) CBC Working Papers #520

"Inference Using Instrumental Variable Estimators" (PhD Dissertation Chapter #3) CBC Working Papers #464

"Estimation of a Dynamic Panel Data: The Case of Corporate Investment in Chile" (PhD Dissertation Chapter #2) CBC Working Papers #467

"Higher Order Properties of the Symmetrically Normalized Instrumental Variable Estimator" (PhD Dissertation Chapter #1) CBC Working Papers #500