Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil?
| Ano de defesa: | 2020 |
|---|---|
| Autor(a) principal: | |
| Orientador(a): | |
| Banca de defesa: | |
| Tipo de documento: | Dissertação |
| Tipo de acesso: | Acesso aberto |
| Idioma: | por |
| Instituição de defesa: |
Não Informado pela instituição
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| Programa de Pós-Graduação: |
Não Informado pela instituição
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| Departamento: |
Não Informado pela instituição
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| País: |
Não Informado pela instituição
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| Palavras-chave em Português: | |
| Palavras-chave em Inglês: | |
| Link de acesso: | https://hdl.handle.net/10438/29353 |
Resumo: | Os custos de imunização de carteira de renda fixa são analisados com um modelo fatorial de imunização. Em um modelo de três fatores, evidenciamos que quanto mais próxima a maturidade média de um portfólio ativo encontra-se da maturidade do passivo que o imuniza, menores custos operacionais são observados, sem comprometer a efetividade da imunização da carteira. |
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Freitas, Franklin Gouveia Pereira deEscolas::EESPDario, Alan de GenaroCastro Junior, Francisco Henrique Figueiredo deFernandes, Marcelo2020-06-25T20:07:18Z2020-06-25T20:07:18Z2020-06-08https://hdl.handle.net/10438/29353Os custos de imunização de carteira de renda fixa são analisados com um modelo fatorial de imunização. Em um modelo de três fatores, evidenciamos que quanto mais próxima a maturidade média de um portfólio ativo encontra-se da maturidade do passivo que o imuniza, menores custos operacionais são observados, sem comprometer a efetividade da imunização da carteira.We examine the immunization costs of a fixed income portfolio using a three-factor yield curve model. We show that the closer the average maturity of the immunization portfolio is to the liability maturity, the lower the operating costs, without compromising the effectiveness of the portfolio's immunization.porCostsImmunizationFixed incomeFactorial modelCustosImunizaçãoRenda fixaModelo fatorialNelson e SiegelEconomiaAtivos financeiros de renda fixaRisco (Economia)Mercado FinanceiroQuanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTHUMBNAILDissertação - Franklin Freitas.pdf.jpgDissertação - Franklin Freitas.pdf.jpgGenerated Thumbnailimage/jpeg1443http://bibliotecadigital.fgv.br:80/dspace/bitstream/10438/29353/6/Disserta%c3%a7%c3%a3o%20-%20Franklin%20Freitas.pdf.jpg061eb2623a1c5a1e51ca3a1b2601b826MD56TEXTDissertação - Franklin 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InstitucionalPRI |
| dc.title.por.fl_str_mv |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| title |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| spellingShingle |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? Freitas, Franklin Gouveia Pereira de Costs Immunization Fixed income Factorial model Custos Imunização Renda fixa Modelo fatorial Nelson e Siegel Economia Ativos financeiros de renda fixa Risco (Economia) Mercado Financeiro |
| title_short |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| title_full |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| title_fullStr |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| title_full_unstemmed |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| title_sort |
Quanto custa a estratégia de imunização fatorial de carteiras de renda fixa no Brasil? |
| author |
Freitas, Franklin Gouveia Pereira de |
| author_facet |
Freitas, Franklin Gouveia Pereira de |
| author_role |
author |
| dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
| dc.contributor.member.none.fl_str_mv |
Dario, Alan de Genaro Castro Junior, Francisco Henrique Figueiredo de |
| dc.contributor.author.fl_str_mv |
Freitas, Franklin Gouveia Pereira de |
| dc.contributor.advisor1.fl_str_mv |
Fernandes, Marcelo |
| contributor_str_mv |
Fernandes, Marcelo |
| dc.subject.eng.fl_str_mv |
Costs Immunization Fixed income Factorial model |
| topic |
Costs Immunization Fixed income Factorial model Custos Imunização Renda fixa Modelo fatorial Nelson e Siegel Economia Ativos financeiros de renda fixa Risco (Economia) Mercado Financeiro |
| dc.subject.por.fl_str_mv |
Custos Imunização Renda fixa Modelo fatorial Nelson e Siegel |
| dc.subject.area.por.fl_str_mv |
Economia |
| dc.subject.bibliodata.por.fl_str_mv |
Ativos financeiros de renda fixa Risco (Economia) Mercado Financeiro |
| description |
Os custos de imunização de carteira de renda fixa são analisados com um modelo fatorial de imunização. Em um modelo de três fatores, evidenciamos que quanto mais próxima a maturidade média de um portfólio ativo encontra-se da maturidade do passivo que o imuniza, menores custos operacionais são observados, sem comprometer a efetividade da imunização da carteira. |
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2020 |
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2020-06-25T20:07:18Z |
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2020-06-25T20:07:18Z |
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2020-06-08 |
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