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

Economia Aplicada, 2001

21 Pages Posted: 24 Feb 2020

See all articles by Gyorgy Varga

Gyorgy Varga

FCE Consulting

Marcos Valli

affiliation not provided to SSRN

Date Written: December 18, 2001

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

Suggested Citation

Varga, Gyorgy and Valli, Marcos, Movimentos da Estrutura a Termo Brasileira e Imunização (Term Structure Movements and Imunization) (December 18, 2001). Economia Aplicada, 2001, Available at SSRN: https://ssrn.com/abstract=3506347

Gyorgy Varga (Contact Author)

FCE Consulting ( email )

Brazil
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HOME PAGE: http://www.fce.com.br

Marcos Valli

affiliation not provided to SSRN

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