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 |
Summary: | 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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ISSN: | 1413-8050 1980-5330 |