Detalhes bibliográficos
| Ano de defesa: |
2014 |
| Autor(a) principal: |
Kohatsu, Marcelo Yoshimatsu |
| Orientador(a): |
Cruz Júnior, José César
 |
| Banca de defesa: |
Silva Junior, Geraldo Edmundo
,
Delfino, Denísio Augusto Liberato
|
| Tipo de documento: |
Dissertação
|
| Tipo de acesso: |
Acesso aberto |
| Idioma: |
por |
| Instituição de defesa: |
Universidade Federal de São Carlos
|
| Programa de Pós-Graduação: |
Programa de Pós-Graduação em Economia - PPGEc-So
|
| Departamento: |
Não Informado pela instituição
|
| País: |
BR
|
| Palavras-chave em Português: |
|
| Palavras-chave em Inglês: |
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| Área do conhecimento CNPq: |
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| Link de acesso: |
https://repositorio.ufscar.br/handle/20.500.14289/2160
|
Resumo: |
The purpose of this dissertation is investigating changes on the immunized portfolios by the analytic method of principal components analysis from an inversion movement of the term structure of interest rates. In 2012, the one year yield curve had short term's interest rate higher than long term's interest rate, featuring a decrescent profile behavior. In December 2012, the structure shape changed and became firstly flat to become, later, a positively sloped curve. The method of immunization with analysis of principal component uses a structure by retroactive term for the calculation of the facts towards the greatest variance. In this dissertation we verify that the use of a decrescent historic of the structure on term for the calculation of the components did not present inconsistencies in the immunization of the portfolio in the period that the structure on term was becoming itself crescent. |
