Movimentos da estrutura a termo da taxa de juros brasileira e imunização
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2001-02-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/218830 |