Movimentos da estrutura a termo da taxa de juros brasileira e imunização
DOI:
https://doi.org/10.11606/1413-8050/ea218830Palabras clave:
term structure ofinterest rates, asset pricing, statistical and econometric methodsResumen
This article uses a factor model known as Principal Component Analysis PCA 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 procedure known as duration hedge, which only provides protection for parallel yield curve movements. The application was held with data collected during the Asia crisis.
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Derechos de autor 2001 Economia Aplicada
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial 4.0.