Carteiras de renda fixaimunização, risco de imunização e risco idiossincrático

Resumo

The objective of an immunization strategy is to guarantee a final portfolio value independently of interest rate changes. The purpose of this study is to evaluate the effectiveness of different immunization strategies. We analyze traditional risk measures such as Duração, Convexity, Dispersion, and other more recent risk measures such as Value at Risk and Conditional Value at Risk. We also examine immunization strategies performance and how they can be used as tools for the formation of an optimum investment portfolio. Moreover, this study innovates by introducing an analysis of idiosyncratic risk and immunization risk. The study compares idiosyncratic and immunization risk in fixed income portfolios. In order to evaluate the performance of different immunization strategies and the existence of a trade off between idiosyncratic and immunization risk an empirical study has been conducted on the Brazilian bonds market by means of the formation of different portfolios among a selected set of bonds with different maturities and structures. In addition, information about yields from 2006 to 2010 has been used to find the optimum portfolio compositions based on each alternative risk measure

Ficha do documento

Tipo

Dissertação

Ano

2011

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/8496

Temas

Economia

Palavras-chave

ImunizaçãoRisco idiossincráticoRisco de imunizaçãoValor em riscoDuraçãoConvexidadeDurationConvexityImmunizationImmunization riskIdiosyncratic riskValue at riskEconomiaAtivos financeiros de renda fixaRisco (Economia)Mercado financeiro