Estrategia para la implementación de instrumentos de coberturas para la estabilización de los costos en el sector automotriz Colombiano

Abstract

This research explores the implementation of hedging instruments to stabilize import costs in the Colombian automotive sector. A comprehensive analysis of the sector is carried out, identifying levels of exchange rate exposure and exchange rate risk using the Value at Risk (VaR) tool. The Black & Scholes model is employed to value hedging instruments, specifically options, and determine the optimal hedging level using the Minimum Variance Hedging Ratio (RCMV) method. The study's findings indicate that companies in the automotive import sector can increase their profitability by 1.5% to 10.8% annually by implementing hedging strategies with options to mitigate the impact of exchange rate fluctuations. The optimal number of option contracts needed to cover each company's monetary exposure risk is determined. The conclusion is that the implementation of options is an effective strategy to stabilize import costs and improve profitability in the Colombian automotive sector. It is recommended to conduct a precise diagnosis of exchange rate exposure and associated risk, carefully evaluate the different hedging strategies available, and establish a monitoring and adjustment process to ensure effectiveness over time.