Apreçamento de opções de recompra embutidas: uma aplicação ao mercado de debêntures brasileiro

Nesse trabalho desenvolvemos uma estratégia para o apreçamento de opções de recompra Embutidas . Esse tipo específico de opção está presente em um grande número de debêntures no mercado brasileiro. Em função deste mercado apresentar um número reduzido de ativos, o apreçamento destas opções se faz necessário para que tenhamos condições de ampliar a massa de ativos disponíveis para a análise. Como passo intermediário, é preciso determinar quando é interessante para o emissor efetuar o resgate antecipado da debênture. Para este m, propomos uma metodologia para a estimação da estrutura a termo da taxa de juros do mercado de debêntures com base no modelo de Nelson-Siegel.

Diversity and genetic population structure of the Brazilian sharpnose shark Rhizoprionodon lalandii

Similar to many small, range-restricted elasmobranchs, the Brazilian sharpnose shark (Rhizoprionodon lalandii) is listed as 'data deficient' by the International Union for the Conservation of Nature (IUCN). Data on stock assessment and sustainability are scarce, and there is no information on population structure. This constitutes a management problem because this shark comprises approximately 50% of the catch of small coastal sharks in Brazil. In this study, populations of R. lalandii distributed from the Caribbean to southern Brazil were investigated using sequences from the mitochondrial DNA control region. Analysis of molecular variance revealed strong structuring between population samples from the Caribbean and those from the Brazilian coast (F{cyrillic}ST=0.254, P<0.0001). Significant differences in the rates of genetic diversity between these major areas were also detected. The observed levels of population structuring are likely to be driven by female phylopatry. Therefore, the identification of both mating and nursery areas with parallel ban/restriction of fishing in these areas may be critical for the long-term sustainability of these populations. © 2013 John Wiley & Sons, Ltd.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

A model to estimate the US term structure of interest rates

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

The exhaustion of the brazilian growth cycle

O Brasil recebeu muita atenção na última década, sua ascensão ao status de grande potência e uma das maiores economias mundiais tem sido enfatizada. No entanto, existem sinais de que essa prosperidade recente está chegando ao fim, sugerindo que houve um excesso de otimismo em relação ao aparente sucesso econômico do país e a possiblidade de crescimento contínuo. O Brasil focou na exportação de produtos primários e em um modelo de crescimento baseado no consumo, que se tornaram as locomotivas da economia. Uma pujante economia mundial demandando produtos primários e um amplo e inexplorado mercado interno ajudam a explicar o crescimento brasileiro na década passada. Não obstante, esse modelo apresenta diversas limitações. A inflação, mais uma vez, está em alta e os gargalos que impedem o desenvolvimento econômico não foram resolvidos. O objetivo desta dissertação é demonstrar que o atual ciclo de crescimento da economia brasileira está no fim. Dados de diversas fontes, nacionais e internacionais, serão usados para indicar que, novamente, o país teve um crescimento efêmero e não possui uma estrutura econômica adequada para promover o desenvolvimento de longo prazo. Uma breve análise dos fundamentos econômicos, clima de negócios e outros tópicos relacionados ao crescimento e desenvolvimento será apresentada, articulando dados e fatos para encontrar causas e explicações para a atual inversão de tendência econômica.

Hedging options in a garch environment: testing the term structure of stochastic volatility models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ability of volatility models to hedge and value term structure dependent option positions, we fmd that hedging tests support the Black-Scholes delta and gamma hedges, but not the simple vega hedge when there is no model of the term structure of volatility. With various models, it is difficult to improve on a simple gamma hedge assuming constant volatility. Ofthe volatility models, the GARCH components estimate of term structure is preferred. Valuation tests indicate that all the models contain term structure information not incorporated in market prices.

Phylogeographic Structure and Karyotypic Diversity of the Brazilian Shrew Mouse (Blarinomys breviceps, Sigmodontinae) in the Atlantic Forest

Blarinomys breviceps possesses cryptic and burrowing habits with poorly documented genetics and life history traits. Due to its rarity, only a few specimens and DNA sequences have been deposited in collections worldwide. Here, we present the most comprehensive cytogenetic and molecular characterization of this rare genus. Phylogenetic analyses based on partial cytochrome b sequences were performed, attempting to establish the relationships among individuals with distinct karyotypes along the geographic distribution of the genus in the Atlantic Forest. Classical and molecular cytogenetics, using banding patterns and FISH of telomeric and whole chromosome X-specific painting probes (obtained from the Akodontini Akodon cursor) were used to characterize and compare the chromosomal complements. Molecular phylogenetic analyses recovered 2 main geographically structured clades, northeastern and southeastern with pair-wise sequence divergences among specimens varying between 4.9 and 8.4%. Eight distinct karyomorphs are described: (A) 2n = 52 (50A, XX), (B) 2n = 52 (48A, XY+2Bs), (C) 2n = 45 (42A, XY+1B), (D) 2n = 43 (37A, XX+4Bs), (E) 2n = 37 (34A, XY+1B), (F) 2n = 34 (32A, XX), (G) 2n = 31 (27A, XX+2Bs), (H) 2n = 28 (26A, XY), all with the same number of autosomal arms (FNA = 50). Variation of 0-4 supernumerary chromosomes (Bs) presenting heterogeneity in morphology and distribution of interstitial telomeric sequences (ITSs) is reported. ITSs are also found in some metacentric autosomes. The phylogeographic separation between 2 major lineages with high levels of genetic divergence, and the wide karyotypic diversity indicate that B. breviceps is a diverse group that warrants taxonomic re-evaluation. Copyright (C) 2012 S. Karger AG, Basel

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

The changing behaviour of the term structure of post-war US

Using U.S. interest rate data covering the period 1950:1-1992:7, this paper tests the rational expectations model of the term structure of interest rates. We show evidence that the rational expectations model of the term structure is supported by the data during the seventies and a period lasting from the mid-eighties to the end of the sample. However, during the …fties, sixties and a period that covers most of the Volcker’s office term (from September 1979 to April 1986) the term structure model is rejected by the data. Moreover, wefind evidence of regime changes in the short-term rate process and the term structure of interest rates. These regime switches roughly coincide with changes in the Federal Reserve chairman. The switches in monetary policy taking place when the chairmanship of the Federal Reserve changes therefore seem to play an important role in characterizing the term structure of interest rates.

Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics