Movimentos da estrutura a termo da taxa de juros brasileira e imunização

Abstract

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.

Keywords

• term structure ofinterest rates
• asset pricing
• statistical and econometric methods