Mercado brasileiro: aplicação de análise de componentes principais no cálculo de VAR para carteiras de renda fixa

• Ano de defesa: 2005
• Autor(a) principal: Jesus, Gustavo da Silva
• Orientador(a): Matone, Ricardo
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Finanças; Renda fixa; Curva de juros; Risco
• Palavras-chave em Inglês: VAR
• Link de acesso: http://hdl.handle.net/10438/2031

The Value at Risk (VAR) approach in this work is performed based on the analysis of the yield curve using Principal Component Analysis (PCA). With this methodology, the movements of the yield curve can be decomposed in a small number of underlying factors: a ìShiftî factor that causes rates to rise or fall, a ìTwistî factor that allows the curve to steepen or flatten, and a third factor that changes the convexity of the yield curve. The movements are not correlated to the others. Combining these factors produces specific yield curve scenarios useful for estimating the market risk of rate-sensitive instruments. The worst (greatest) loss can be considered an intuitive and quick estimate of VAR, according to the desired confidence level. This work will show that the first factor in the Brazilian curve is not a pure parallel shift. Differently from what happens in studies of other countries, the first factor also twists the curve.