Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/11495 |
Resumo: | The present paper aims at analyzing the adoption of portfolio immunization techniques for the FX hedge management in the corporate environment of a Trading Company using in a pioneering way the Principal Component Analysis applied to the FX curve as an alternative to the frequently used models of hedge using back-to-back and duration-hedge strategies which show some deficiencies on its management. To exemplify the effectiveness of the immunization strategy, it was created a random portfolio of FX exposures dated at 02/01/2013 that comprised 200 transactions with notional between US$5 million and –US$10 million, for maturities also aleatory between 03/06/2013 and 01/12/2014 maturing on the first business day of each month. The results of the Principal Component Analysis showed that for the 3 periods analyzed, 1,2 and 3 years, the first three components explained, respectively, 97.17%, 97.90% e 97.53% of the variability of the FX curve. With respect to the portfolio immunization, the strategy that used the principal component methodology seemed to be extremely effective, when compared to the back-to-back strategy, allowing it to be used in the corporate environment. The hedge strategy using the Principal Component Analysis for 1, 2 and 3 years and the Duration Hedge strategy showed an effectiveness of, respectively, 101.3%, 99.47%, 97.64% and 99.24% for the period of analysis and an amplitude on its daily effectiveness of 8.62%, 7.79%, 8.45% e 19.21%, which shows a superiority of the strategy when compared to the Duration Hedge. The results obtained from this paper are of great relevance for the corporate risk management in the local market. |
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Santos, João Henrique Perez SantosEscolas::EESPSheng, Hsia HuaSanvicente, Antonio ZorattoLora, Mayra Ivanoff2014-02-26T12:20:14Z2014-02-26T12:20:14Z2014-01-30SANTOS, João Henrique Perez Santos. Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/11495The present paper aims at analyzing the adoption of portfolio immunization techniques for the FX hedge management in the corporate environment of a Trading Company using in a pioneering way the Principal Component Analysis applied to the FX curve as an alternative to the frequently used models of hedge using back-to-back and duration-hedge strategies which show some deficiencies on its management. To exemplify the effectiveness of the immunization strategy, it was created a random portfolio of FX exposures dated at 02/01/2013 that comprised 200 transactions with notional between US$5 million and –US$10 million, for maturities also aleatory between 03/06/2013 and 01/12/2014 maturing on the first business day of each month. The results of the Principal Component Analysis showed that for the 3 periods analyzed, 1,2 and 3 years, the first three components explained, respectively, 97.17%, 97.90% e 97.53% of the variability of the FX curve. With respect to the portfolio immunization, the strategy that used the principal component methodology seemed to be extremely effective, when compared to the back-to-back strategy, allowing it to be used in the corporate environment. The hedge strategy using the Principal Component Analysis for 1, 2 and 3 years and the Duration Hedge strategy showed an effectiveness of, respectively, 101.3%, 99.47%, 97.64% and 99.24% for the period of analysis and an amplitude on its daily effectiveness of 8.62%, 7.79%, 8.45% e 19.21%, which shows a superiority of the strategy when compared to the Duration Hedge. The results obtained from this paper are of great relevance for the corporate risk management in the local market.O presente estudo busca analisar a adoção de técnicas de imunização de carteiras para a gestão dos hedges cambiais no ambiente corporativo de uma Trading Company, utilizando de forma pioneira a análise de componentes principais aplicada à curva cambial como uma alternativa aos modelos usualmente utilizados de hedge por exposição gerada (back-to-back) e duration hedge que mostram algumas deficiências em sua gestão. Para exemplificar a efetividade da estratégia de imunização foi gerada aleatoriamente uma carteira de exposição cambial com data base de 02/01/2013 composta por 200 transações com valores entre US$5 milhões e -US$10 milhões, para vencimentos também aleatórios entre 03/06/2013 e 01/12/2014 com vencimento no primeiro dia útil de cada mês. Os resultados da Análise de Componente Principais mostraram que para os períodos analisados de 1, 2 e 3 anos, os três primeiros componentes explicam respectivamente 97.17%, 97.90% e 97.53% da variabilidade da curva cambial. No que diz respeito à imunização da carteira, a estratégia que utiliza a metodologia de componentes principais mostrou-se altamente efetiva, quando comparadas à estratégia back-to-back, de forma a permitir a sua aplicabilidade no ambiente corporativo. A estratégia de hedge utilizando-se da Análise de Componentes Principais para 1, 2 e 3 anos e pelo Duration Hedge apresentaram uma efetividade de, respectivamente, 101.3%, 99.47%, 97.64% e 99.24% para o período analisado e uma amplitude na efetividade diária de 8.62%, 7.79%, 8.45% e 19.21% o que indica uma superioridade da estratégia em relação ao Duration Hedge. Os resultados obtidos nesse trabalho são de grande relevância para a gestão de risco corporativo no mercado local.porTrading companyCorporate hedgeHedge cambialEconomiaImunizaçãoHedging (Finanças)Administração cambialAnálise de componentes principaisEmpresas comerciais exportadorasGestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileirasinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese MPFE - Joao Santos.pdfTese MPFE - Joao Santos.pdfTese - João Santosapplication/pdf1094828https://repositorio.fgv.br/bitstreams/bb9a637a-fd3d-4683-9335-af91a2e04856/download85c04c4b4e18b219b437fceb8bae5c0bMD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.por.fl_str_mv |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
title |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
spellingShingle |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras Santos, João Henrique Perez Santos Trading company Corporate hedge Hedge cambial Economia Imunização Hedging (Finanças) Administração cambial Análise de componentes principais Empresas comerciais exportadoras |
title_short |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
title_full |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
title_fullStr |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
title_full_unstemmed |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
title_sort |
Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras |
author |
Santos, João Henrique Perez Santos |
author_facet |
Santos, João Henrique Perez Santos |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Sheng, Hsia Hua Sanvicente, Antonio Zoratto |
dc.contributor.author.fl_str_mv |
Santos, João Henrique Perez Santos |
dc.contributor.advisor1.fl_str_mv |
Lora, Mayra Ivanoff |
contributor_str_mv |
Lora, Mayra Ivanoff |
dc.subject.eng.fl_str_mv |
Trading company Corporate hedge |
topic |
Trading company Corporate hedge Hedge cambial Economia Imunização Hedging (Finanças) Administração cambial Análise de componentes principais Empresas comerciais exportadoras |
dc.subject.por.fl_str_mv |
Hedge cambial |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Imunização Hedging (Finanças) Administração cambial Análise de componentes principais Empresas comerciais exportadoras |
description |
The present paper aims at analyzing the adoption of portfolio immunization techniques for the FX hedge management in the corporate environment of a Trading Company using in a pioneering way the Principal Component Analysis applied to the FX curve as an alternative to the frequently used models of hedge using back-to-back and duration-hedge strategies which show some deficiencies on its management. To exemplify the effectiveness of the immunization strategy, it was created a random portfolio of FX exposures dated at 02/01/2013 that comprised 200 transactions with notional between US$5 million and –US$10 million, for maturities also aleatory between 03/06/2013 and 01/12/2014 maturing on the first business day of each month. The results of the Principal Component Analysis showed that for the 3 periods analyzed, 1,2 and 3 years, the first three components explained, respectively, 97.17%, 97.90% e 97.53% of the variability of the FX curve. With respect to the portfolio immunization, the strategy that used the principal component methodology seemed to be extremely effective, when compared to the back-to-back strategy, allowing it to be used in the corporate environment. The hedge strategy using the Principal Component Analysis for 1, 2 and 3 years and the Duration Hedge strategy showed an effectiveness of, respectively, 101.3%, 99.47%, 97.64% and 99.24% for the period of analysis and an amplitude on its daily effectiveness of 8.62%, 7.79%, 8.45% e 19.21%, which shows a superiority of the strategy when compared to the Duration Hedge. The results obtained from this paper are of great relevance for the corporate risk management in the local market. |
publishDate |
2014 |
dc.date.accessioned.fl_str_mv |
2014-02-26T12:20:14Z |
dc.date.available.fl_str_mv |
2014-02-26T12:20:14Z |
dc.date.issued.fl_str_mv |
2014-01-30 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
SANTOS, João Henrique Perez Santos. Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/11495 |
identifier_str_mv |
SANTOS, João Henrique Perez Santos. Gestão de risco cambial no ambiente corporativo: aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
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http://hdl.handle.net/10438/11495 |
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