Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização
Ano de defesa: | 2013 |
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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: | http://hdl.handle.net/10438/10581 |
Resumo: | Volatility risk plays an important role in the management of portfolios of derivative assets as well as portfolios of basic assets. This risk is currently managed in financial markets abroad with the use of several instruments, including volatility derivatives. However, a volatility derivatives market in Brazil is still a gap to be fulfilled in the future, maybe due to the lower liquidity of options or even the lack of all the required assets for the replicating portfolio. The objective of this paper is to introduce a straightforward model for pricing volatility swaps on BRL, encouraging further dialog between the academic and practitioner communities on this theme that would lead to the development of such market drawing on the best of both worlds. In order to value this instrument, the design and valuation of it is presented in details as the basic ingredients of a successful financial product. The numerical results show that the proposed model can be considered as a powerful instrument to hedge volatility risk. An additional benefit of this work is that it will provide the risks and benefits from using such instrument with BRL. |
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Luterman, Rodolfo NunesEscolas::EESPSantos, José Evaristo dosCipparrone, Flavio Almeida de MagalhãesPinto, Afonso de Campos2013-03-05T13:27:59Z2013-03-05T13:27:59Z2013-02-04LUTERMAN, Rodolfo Nunes. Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013.http://hdl.handle.net/10438/10581Volatility risk plays an important role in the management of portfolios of derivative assets as well as portfolios of basic assets. This risk is currently managed in financial markets abroad with the use of several instruments, including volatility derivatives. However, a volatility derivatives market in Brazil is still a gap to be fulfilled in the future, maybe due to the lower liquidity of options or even the lack of all the required assets for the replicating portfolio. The objective of this paper is to introduce a straightforward model for pricing volatility swaps on BRL, encouraging further dialog between the academic and practitioner communities on this theme that would lead to the development of such market drawing on the best of both worlds. In order to value this instrument, the design and valuation of it is presented in details as the basic ingredients of a successful financial product. The numerical results show that the proposed model can be considered as a powerful instrument to hedge volatility risk. An additional benefit of this work is that it will provide the risks and benefits from using such instrument with BRL.A volatilidade possui um papel central na gestão de risco tanto de portfólios de derivativos como de portfólios de ativos não alavancados. Este risco é gerenciado nos mercados financeiros através de diversos instrumentos, incluindo o uso de derivativos de volatilidade. No entanto, um mercado de derivativos de volatilidade no Brasil ainda é uma lacuna a ser preenchida, talvez pela baixa liquidez em determinadas opções ou mesmo pela falta de todos os ativos necessários para se estabelecer o portfólio replicante para os mesmos. O objetivo deste trabalho é apresentar um modelo simples de se apreçar swaps de volatilidade sob o BRL, estimulando um diálogo entre a comunidade acadêmica e os praticantes do mercado que permita o desenvolvimento de derivativos de volatilidade ao considerar o melhor de cada grupo. Para se apreçar este instrumento, a modelagem e os ativos utilizados são apresentados em detalhes como sendo os ingredientes básicos de um produto financeiro de sucesso. Os resultados numéricos demonstram que o modelo proposto pode ser considerado um poderoso instrumento para se realizar o hedge do risco de volatilidade. Um benefício adicional deste trabalho é apresentar os riscos e benefícios de se utilizar este instrumento com o BRL.porVolatilidadeVegaHedgeSwapBRLGestão de riscoVolatilityRisk managementEconomiaMercado financeiroHedging (Finanças)Derivativos (Finanças)Swaps (Finanças)Investimentos - AdministraçãoAdministração de riscoDerivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilizaçãoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação - Rodolfo Luterman - MPFE - Final.PDFDissertação - Rodolfo Luterman - MPFE - Final.PDFDissertação Rodolfo Luterman - Arquivo Finalapplication/pdf1375397https://repositorio.fgv.br/bitstreams/050ef72c-c10c-4db7-b520-2ead749ea1d4/download34f856bb109f53df096fcee82bee8a89MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
title |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
spellingShingle |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização Luterman, Rodolfo Nunes Volatilidade Vega Hedge Swap BRL Gestão de risco Volatility Risk management Economia Mercado financeiro Hedging (Finanças) Derivativos (Finanças) Swaps (Finanças) Investimentos - Administração Administração de risco |
title_short |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
title_full |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
title_fullStr |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
title_full_unstemmed |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
title_sort |
Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização |
author |
Luterman, Rodolfo Nunes |
author_facet |
Luterman, Rodolfo Nunes |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Santos, José Evaristo dos Cipparrone, Flavio Almeida de Magalhães |
dc.contributor.author.fl_str_mv |
Luterman, Rodolfo Nunes |
dc.contributor.advisor1.fl_str_mv |
Pinto, Afonso de Campos |
contributor_str_mv |
Pinto, Afonso de Campos |
dc.subject.por.fl_str_mv |
Volatilidade Vega Hedge Swap BRL Gestão de risco |
topic |
Volatilidade Vega Hedge Swap BRL Gestão de risco Volatility Risk management Economia Mercado financeiro Hedging (Finanças) Derivativos (Finanças) Swaps (Finanças) Investimentos - Administração Administração de risco |
dc.subject.eng.fl_str_mv |
Volatility Risk management |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado financeiro Hedging (Finanças) Derivativos (Finanças) Swaps (Finanças) Investimentos - Administração Administração de risco |
description |
Volatility risk plays an important role in the management of portfolios of derivative assets as well as portfolios of basic assets. This risk is currently managed in financial markets abroad with the use of several instruments, including volatility derivatives. However, a volatility derivatives market in Brazil is still a gap to be fulfilled in the future, maybe due to the lower liquidity of options or even the lack of all the required assets for the replicating portfolio. The objective of this paper is to introduce a straightforward model for pricing volatility swaps on BRL, encouraging further dialog between the academic and practitioner communities on this theme that would lead to the development of such market drawing on the best of both worlds. In order to value this instrument, the design and valuation of it is presented in details as the basic ingredients of a successful financial product. The numerical results show that the proposed model can be considered as a powerful instrument to hedge volatility risk. An additional benefit of this work is that it will provide the risks and benefits from using such instrument with BRL. |
publishDate |
2013 |
dc.date.accessioned.fl_str_mv |
2013-03-05T13:27:59Z |
dc.date.available.fl_str_mv |
2013-03-05T13:27:59Z |
dc.date.issued.fl_str_mv |
2013-02-04 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
LUTERMAN, Rodolfo Nunes. Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/10581 |
identifier_str_mv |
LUTERMAN, Rodolfo Nunes. Derivativos de volatilidade no mercado brasileiro de câmbio: viabilidade e impactos de sua utilização. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013. |
url |
http://hdl.handle.net/10438/10581 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/050ef72c-c10c-4db7-b520-2ead749ea1d4/download https://repositorio.fgv.br/bitstreams/09eefc32-a8ca-49c2-bc97-f68dfb63b9f0/download https://repositorio.fgv.br/bitstreams/237c90a5-6a87-4a07-b1dd-7e08b163fc04/download https://repositorio.fgv.br/bitstreams/2cb57d4f-b948-4693-9654-40faab4fabb5/download |
bitstream.checksum.fl_str_mv |
34f856bb109f53df096fcee82bee8a89 dfb340242cced38a6cca06c627998fa1 2953311dda59f9bc900c5385493f6755 8494034cc5c12b14ec10bfe1b16b1148 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810024733611130880 |