Movimentos da Estrutura a Termo Brasileira e Imunização (Term Structure Movements and Imunization)

Abstract

Portuguese Abstract: Este artigo utiliza o analise de componentes principais para avaliar os movimentos da Estrutura a Termo brasileira. Com os fatores obtidos aplicam-se os procedimentos de imunização de carteira de renda fixa local e compara-se o resultado a uma estratégia de hedge simples por duration.

English Abstract: This article uses a PCA factor model to evaluate the Brazilian local yield curve movements. With the factors obtained we apply a immunization procedure for a local fixed income portfolio and compare this result to a more simple hedging procedure (duration hedge), which provides protection for parallel yield curve movements. This application was held with data collected during the Asia crisis.

Note: Downloadable document is in Portuguese.

Keywords: Term structure, asset pricing

JEL Classification: C49, E43, G12