Referentes bibliográficos

Diecinueve obras en normas APA, 7.ª edición: de Macaulay (1938), que dio nombre a la duración, a los manuales de referencia del mercado actual. Estructura temporal de tasas, duración y convexidad, riesgo de crédito, modelos de tasas y gestión de portafolio.

* Lecturas centrales recomendadas para profundizar en cada bloque temático de la guía.

Andersen, L. B. G. y Piterbarg, V. V. (2010). Interest rate modeling (Vols. 1–3). Atlantic Financial Press.

Board of Governors of the Federal Reserve System. (2023). Review of the Federal Reserve's supervision and regulation of Silicon Valley Bank. https://www.federalreserve.gov/publications/review-of-the-federal-reserves-supervision-and-regulation-of-silicon-valley-bank.htm

Bodie, Z., Kane, A. y Marcus, A. J. (2021). Investments (12.ª ed.). McGraw-Hill.

Brigo, D. y Mercurio, F. (2006). Interest rate models — Theory and practice (2.ª ed.). Springer.

CFA Institute. (2023). CFA Program curriculum, Levels II–III: Fixed income. CFA Institute.

*Collin-Dufresne, P., Goldstein, R. S. y Martin, J. S. (2001). The determinants of credit spread changes. The Journal of Finance, 56(6), 2177–2207. https://doi.org/10.1111/0022-1082.00402

Crouhy, M., Galai, D. y Mark, R. (2014). The essentials of risk management (2.ª ed.). McGraw-Hill.

Duffie, D. y Singleton, K. J. (1999). Modeling term structures of defaultable bonds. The Review of Financial Studies, 12(4), 687–720. https://doi.org/10.1093/rfs/12.4.687

*Elton, E. J., Gruber, M. J., Agrawal, D. y Mann, C. (2001). Explaining the rate spread on corporate bonds. The Journal of Finance, 56(1), 247–277. https://doi.org/10.1111/0022-1082.00324

*Fabozzi, F. J. (2021). Bond markets, analysis, and strategies (10.ª ed.). MIT Press.

Hull, J. C. (2021). Options, futures, and other derivatives (11.ª ed.). Pearson.

Lando, D. (2004). Credit risk modeling: Theory and applications. Princeton University Press.

*Litterman, R. y Scheinkman, J. (1991). Common factors affecting bond returns. The Journal of Fixed Income, 1(1), 54–61. https://doi.org/10.3905/jfi.1991.692347

Litterman, R. y Quantitative Resources Group, Goldman Sachs Asset Management. (2003). Modern investment management: An equilibrium approach. Wiley.

Macaulay, F. R. (1938). Some theoretical problems suggested by the movements of interest rates, bond yields and stock prices in the United States since 1856. National Bureau of Economic Research.

Martellini, L., Priaulet, P. y Priaulet, S. (2003). Fixed-income securities: Valuation, risk management and portfolio strategies. Wiley.

Nelson, C. R. y Siegel, A. F. (1987). Parsimonious modeling of yield curves. The Journal of Business, 60(4), 473–489. https://doi.org/10.1086/296409

Schönbucher, P. J. (2003). Credit derivatives pricing models: Models, pricing and implementation. Wiley.

*Tuckman, B. y Serrat, A. (2022). Fixed income securities: Tools for today's markets (4.ª ed.). Wiley.