Custo financeiro do HEDGE : uma comparação entre contratos futuros e opções sobre futuros de commodities

• Ano de defesa: 2016
• Autor(a) principal: Correia, Álvaro Narciso Régis
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Estadual de Maringá; Brasil; Programa de Pós-Graduação em Ciências Econômicas; UEM; Maringá, PR; Centro de Ciências Sociais Aplicadas
• Palavras-chave em Português: Hedges (Finanças), Finanças de empresas, Risco, Custo financeiro, Hedges (Finanças), Valor de risco, Commodities, Modelo Valkue-at-risk, Efetividade de hedge - Brasil; Hedge; Financial costs; Value at Risk; Commodities; - Brazil; Ciências Sociais Aplicadas; Economia
• Link de acesso: http://repositorio.uem.br:8080/jspui/handle/1/3425

The aim of this dissertation is to compare the financial cost of hedging transactions with the following derivative instruments: futures contracts and options on futures, in the commodity derivatives markets of the São Paulo Stock Exchange. The research contributes to the literature by approaching an issue for which no studies have been found, particularly in the case of Brazil, where financial costs, as proposed herein, reach expressive figures. The work analyzes the financial cost of carrying contracts for commodities live cattle and corn. The financial cost of a transaction with the option on futures contract is defined as the theoretical at-the-money premium plus the opportunity cost of this premium during the period of operation. The financial cost of a futures contract transaction is determined by the cost of credit designed to maintain liquid hedge during the planning horizon, considering market and closeout risks. The methodological procedures are divided into two stages. The first consists of calculating market risk using the Value at Risk methodology of these contracts with different volatility estimators: Implicit and GARCH (1,1), and the closeout risk are obtained according to the CORE methodology. Different measurements of the financial cost of hedge transactions with futures contracts are obtained, which are determined by multiplying the value obtained from adding the market risk to the closeout risk for different interest rates: directed credit, DI/Cetip and free lending funds. The next stage calculates the theoretical premium of an option on futures at-the-money using the Black (1976) formula. The financial cost of the hedge with options on futures contracts is thus estimated by adding the theoretical at-the-money premium to the opportunity cost under the different interest rates. Finally, the financial costs of the different instruments are compared through simulated hedge transactions. The results show that hedge transactions with futures contracts have lower cost compared to options on futures contracts for all commodities and all volatility estimators for the direct credit and DI/Cetip interest rates. For operations carried out using the free lending funds interest rate, options on futures is the derivative instrument with the lowest financial cost for conducting hedge transactions