Derivativos cambiais do mercado brasileiro: precificação e administração de riscos

Detalhes bibliográficos
Autor(a) principal: França, Daniel Mussi
Data de Publicação: 2010
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/6958
Resumo: Trabalho sobre precificação e administração de riscos de derivativos cambiais do mercado brasileiro.
id FGV_f6b30b2b41df35df0f78ce7e8cbd737c
oai_identifier_str oai:repositorio.fgv.br:10438/6958
network_acronym_str FGV
network_name_str Repositório Institucional do FGV (FGV Repositório Digital)
repository_id_str 3974
spelling França, Daniel MussiEscolas::EPGEFGVBonomo, Marco Antônio CesarHartung, Gabriel ChequerLowenkron, Alexandre2010-08-16T13:29:07Z2010-08-16T13:29:07Z2010-05-24FRANÇA, Daniel Mussi. Derivativos cambiais do mercado brasileiro: precificação e administração de riscos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.https://hdl.handle.net/10438/6958Trabalho sobre precificação e administração de riscos de derivativos cambiais do mercado brasileiro.O objetivo dessa dissertação é apresentar uma documentação detalhada sobre a precificação e administração de riscos dos principais derivativos cambiais negociados no mercado brasileiro. Serão abordadas algumas particularidades desse mercado e serão propostos alguns ajustes à literatura tradicional visando fornecer uma modelagem que seja capaz de quantificar e qualificar corretamente os riscos inerentes a uma carteira de derivativos.The central purpose of this essay is to present a detailed documentation about pricing and risk administration of Brazilian most important FX derivatives. In this work, we are going to study some particularities of the Brazilian market and some adjusts to the conventional literature must be proposed in a way to provide a good modeling for quantifying and qualifying correctly those risks enhanced in a derivatives book.porFuturoCASADOOpçõesSuperfície de volatilidadeSpotFutureOptionsVolatility surfaceEconomiaAdministração de riscoMercado de opçõesMercado de capitaisDerivativos cambiais do mercado brasileiro: precificação e administração de riscosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTese_Daniel_Mussi_100911.pdfTese_Daniel_Mussi_100911.pdfPDFapplication/pdf676227https://repositorio.fgv.br/bitstreams/f475db7a-40f0-4394-90b3-a4863c91a87c/downloadbd55aa471671063df411c7c9a2d1f1a6MD53LICENSElicense.txtlicense.txttext/plain; charset=utf-84712https://repositorio.fgv.br/bitstreams/e9ef8f27-d9c7-4382-a2c5-518278c9ca8e/download4dea6f7333914d9740702a2deb2db217MD54TEXTTese_Daniel_Mussi_100911.pdf.txtTese_Daniel_Mussi_100911.pdf.txtExtracted Texttext/plain84062https://repositorio.fgv.br/bitstreams/d1b28e5c-2db5-4116-bba6-70c783f31b56/downloadcce0d6293c6e8b5b304bd6d28cedfe37MD55THUMBNAILTese_Daniel_Mussi_100911.pdf.jpgTese_Daniel_Mussi_100911.pdf.jpgGenerated Thumbnailimage/jpeg1512https://repositorio.fgv.br/bitstreams/eccece93-46ca-483c-b745-2014c80b8e51/download0e8246ef19bbcc3ab3caae50a875c0e0MD5610438/69582024-08-22 14:56:59.634open.accessoai:repositorio.fgv.br:10438/6958https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-08-22T14:56:59Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)falseVEVSTU9TIExJQ0VOQ0lBTUVOVE8gUEFSQSBBUlFVSVZBTUVOVE8sIFJFUFJPRFXDh8ODTyBFIERJVlVMR0HDh8ODTwpQw5pCTElDQSBERSBDT05URcOaRE8gw4AgQklCTElPVEVDQSBWSVJUVUFMIEZHViAodmVyc8OjbyAxLjIpCgoxLiBWb2PDqiwgdXN1w6FyaW8tZGVwb3NpdGFudGUgZGEgQmlibGlvdGVjYSBWaXJ0dWFsIEZHViwgYXNzZWd1cmEsIG5vCnByZXNlbnRlIGF0bywgcXVlIMOpIHRpdHVsYXIgZG9zIGRpcmVpdG9zIGF1dG9yYWlzIHBhdHJpbW9uaWFpcyBlL291CmRpcmVpdG9zIGNvbmV4b3MgcmVmZXJlbnRlcyDDoCB0b3RhbGlkYWRlIGRhIE9icmEgb3JhIGRlcG9zaXRhZGEgZW0KZm9ybWF0byBkaWdpdGFsLCBiZW0gY29tbyBkZSBzZXVzIGNvbXBvbmVudGVzIG1lbm9yZXMsIGVtIHNlIHRyYXRhbmRvCmRlIG9icmEgY29sZXRpdmEsIGNvbmZvcm1lIG8gcHJlY2VpdHVhZG8gcGVsYSBMZWkgOS42MTAvOTggZS9vdSBMZWkKOS42MDkvOTguIE7Do28gc2VuZG8gZXN0ZSBvIGNhc28sIHZvY8OqIGFzc2VndXJhIHRlciBvYnRpZG8sIGRpcmV0YW1lbnRlCmRvcyBkZXZpZG9zIHRpdHVsYXJlcywgYXV0b3JpemHDp8OjbyBwcsOpdmlhIGUgZXhwcmVzc2EgcGFyYSBvIGRlcMOzc2l0byBlCmRpdnVsZ2HDp8OjbyBkYSBPYnJhLCBhYnJhbmdlbmRvIHRvZG9zIG9zIGRpcmVpdG9zIGF1dG9yYWlzIGUgY29uZXhvcwphZmV0YWRvcyBwZWxhIGFzc2luYXR1cmEgZG9zIHByZXNlbnRlcyB0ZXJtb3MgZGUgbGljZW5jaWFtZW50bywgZGUKbW9kbyBhIGVmZXRpdmFtZW50ZSBpc2VudGFyIGEgRnVuZMOnw6NvIEdldHVsaW8gVmFyZ2FzIGUgc2V1cwpmdW5jaW9uw6FyaW9zIGRlIHF1YWxxdWVyIHJlc3BvbnNhYmlsaWRhZGUgcGVsbyB1c28gbsOjby1hdXRvcml6YWRvIGRvCm1hdGVyaWFsIGRlcG9zaXRhZG8sIHNlamEgZW0gdmluY3VsYcOnw6NvIMOgIEJpYmxpb3RlY2EgVmlydHVhbCBGR1YsIHNlamEKZW0gdmluY3VsYcOnw6NvIGEgcXVhaXNxdWVyIHNlcnZpw6dvcyBkZSBidXNjYSBlIGRpc3RyaWJ1acOnw6NvIGRlIGNvbnRlw7pkbwpxdWUgZmHDp2FtIHVzbyBkYXMgaW50ZXJmYWNlcyBlIGVzcGHDp28gZGUgYXJtYXplbmFtZW50byBwcm92aWRlbmNpYWRvcwpwZWxhIEZ1bmRhw6fDo28gR2V0dWxpbyBWYXJnYXMgcG9yIG1laW8gZGUgc2V1cyBzaXN0ZW1hcyBpbmZvcm1hdGl6YWRvcy4KCjIuIEEgYXNzaW5hdHVyYSBkZXN0YSBsaWNlbsOnYSB0ZW0gY29tbyBjb25zZXHDvMOqbmNpYSBhIHRyYW5zZmVyw6puY2lhLCBhCnTDrXR1bG8gbsOjby1leGNsdXNpdm8gZSBuw6NvLW9uZXJvc28sIGlzZW50YSBkbyBwYWdhbWVudG8gZGUgcm95YWx0aWVzCm91IHF1YWxxdWVyIG91dHJhIGNvbnRyYXByZXN0YcOnw6NvLCBwZWN1bmnDoXJpYSBvdSBuw6NvLCDDoCBGdW5kYcOnw6NvCkdldHVsaW8gVmFyZ2FzLCBkb3MgZGlyZWl0b3MgZGUgYXJtYXplbmFyIGRpZ2l0YWxtZW50ZSwgcmVwcm9kdXppciBlCmRpc3RyaWJ1aXIgbmFjaW9uYWwgZSBpbnRlcm5hY2lvbmFsbWVudGUgYSBPYnJhLCBpbmNsdWluZG8tc2UgbyBzZXUKcmVzdW1vL2Fic3RyYWN0LCBwb3IgbWVpb3MgZWxldHLDtG5pY29zLCBubyBzaXRlIGRhIEJpYmxpb3RlY2EgVmlydHVhbApGR1YsIGFvIHDDumJsaWNvIGVtIGdlcmFsLCBlbSByZWdpbWUgZGUgYWNlc3NvIGFiZXJ0by4KCjMuIEEgcHJlc2VudGUgbGljZW7Dp2EgdGFtYsOpbSBhYnJhbmdlLCBub3MgbWVzbW9zIHRlcm1vcyBlc3RhYmVsZWNpZG9zCm5vIGl0ZW0gMiwgc3VwcmEsIHF1YWxxdWVyIGRpcmVpdG8gZGUgY29tdW5pY2HDp8OjbyBhbyBww7pibGljbyBjYWLDrXZlbAplbSByZWxhw6fDo28gw6AgT2JyYSBvcmEgZGVwb3NpdGFkYSwgaW5jbHVpbmRvLXNlIG9zIHVzb3MgcmVmZXJlbnRlcyDDoApyZXByZXNlbnRhw6fDo28gcMO6YmxpY2EgZS9vdSBleGVjdcOnw6NvIHDDumJsaWNhLCBiZW0gY29tbyBxdWFscXVlciBvdXRyYQptb2RhbGlkYWRlIGRlIGNvbXVuaWNhw6fDo28gYW8gcMO6YmxpY28gcXVlIGV4aXN0YSBvdSB2ZW5oYSBhIGV4aXN0aXIsCm5vcyB0ZXJtb3MgZG8gYXJ0aWdvIDY4IGUgc2VndWludGVzIGRhIExlaSA5LjYxMC85OCwgbmEgZXh0ZW5zw6NvIHF1ZQpmb3IgYXBsaWPDoXZlbCBhb3Mgc2VydmnDp29zIHByZXN0YWRvcyBhbyBww7pibGljbyBwZWxhIEJpYmxpb3RlY2EKVmlydHVhbCBGR1YuCgo0LiBFc3RhIGxpY2Vuw6dhIGFicmFuZ2UsIGFpbmRhLCBub3MgbWVzbW9zIHRlcm1vcyBlc3RhYmVsZWNpZG9zIG5vCml0ZW0gMiwgc3VwcmEsIHRvZG9zIG9zIGRpcmVpdG9zIGNvbmV4b3MgZGUgYXJ0aXN0YXMgaW50w6lycHJldGVzIG91CmV4ZWN1dGFudGVzLCBwcm9kdXRvcmVzIGZvbm9ncsOhZmljb3Mgb3UgZW1wcmVzYXMgZGUgcmFkaW9kaWZ1c8OjbyBxdWUKZXZlbnR1YWxtZW50ZSBzZWphbSBhcGxpY8OhdmVpcyBlbSByZWxhw6fDo28gw6Agb2JyYSBkZXBvc2l0YWRhLCBlbQpjb25mb3JtaWRhZGUgY29tIG8gcmVnaW1lIGZpeGFkbyBubyBUw610dWxvIFYgZGEgTGVpIDkuNjEwLzk4LgoKNS4gU2UgYSBPYnJhIGRlcG9zaXRhZGEgZm9pIG91IMOpIG9iamV0byBkZSBmaW5hbmNpYW1lbnRvIHBvcgppbnN0aXR1acOnw7VlcyBkZSBmb21lbnRvIMOgIHBlc3F1aXNhIG91IHF1YWxxdWVyIG91dHJhIHNlbWVsaGFudGUsIHZvY8OqCm91IG8gdGl0dWxhciBhc3NlZ3VyYSBxdWUgY3VtcHJpdSB0b2RhcyBhcyBvYnJpZ2HDp8O1ZXMgcXVlIGxoZSBmb3JhbQppbXBvc3RhcyBwZWxhIGluc3RpdHVpw6fDo28gZmluYW5jaWFkb3JhIGVtIHJhesOjbyBkbyBmaW5hbmNpYW1lbnRvLCBlCnF1ZSBuw6NvIGVzdMOhIGNvbnRyYXJpYW5kbyBxdWFscXVlciBkaXNwb3Npw6fDo28gY29udHJhdHVhbCByZWZlcmVudGUgw6AKcHVibGljYcOnw6NvIGRvIGNvbnRlw7pkbyBvcmEgc3VibWV0aWRvIMOgIEJpYmxpb3RlY2EgVmlydHVhbCBGR1YuCgo2LiBDYXNvIGEgT2JyYSBvcmEgZGVwb3NpdGFkYSBlbmNvbnRyZS1zZSBsaWNlbmNpYWRhIHNvYiB1bWEgbGljZW7Dp2EKQ3JlYXRpdmUgQ29tbW9ucyAocXVhbHF1ZXIgdmVyc8OjbyksIHNvYiBhIGxpY2Vuw6dhIEdOVSBGcmVlCkRvY3VtZW50YXRpb24gTGljZW5zZSAocXVhbHF1ZXIgdmVyc8OjbyksIG91IG91dHJhIGxpY2Vuw6dhIHF1YWxpZmljYWRhCmNvbW8gbGl2cmUgc2VndW5kbyBvcyBjcml0w6lyaW9zIGRhIERlZmluaXRpb24gb2YgRnJlZSBDdWx0dXJhbCBXb3JrcwooZGlzcG9uw612ZWwgZW06IGh0dHA6Ly9mcmVlZG9tZGVmaW5lZC5vcmcvRGVmaW5pdGlvbikgb3UgRnJlZSBTb2Z0d2FyZQpEZWZpbml0aW9uIChkaXNwb27DrXZlbCBlbTogaHR0cDovL3d3dy5nbnUub3JnL3BoaWxvc29waHkvZnJlZS1zdy5odG1sKSwgCm8gYXJxdWl2byByZWZlcmVudGUgw6AgT2JyYSBkZXZlIGluZGljYXIgYSBsaWNlbsOnYSBhcGxpY8OhdmVsIGVtCmNvbnRlw7pkbyBsZWfDrXZlbCBwb3Igc2VyZXMgaHVtYW5vcyBlLCBzZSBwb3Nzw612ZWwsIHRhbWLDqW0gZW0gbWV0YWRhZG9zCmxlZ8OtdmVpcyBwb3IgbcOhcXVpbmEuIEEgaW5kaWNhw6fDo28gZGEgbGljZW7Dp2EgYXBsaWPDoXZlbCBkZXZlIHNlcgphY29tcGFuaGFkYSBkZSB1bSBsaW5rIHBhcmEgb3MgdGVybW9zIGRlIGxpY2VuY2lhbWVudG8gb3Ugc3VhIGPDs3BpYQppbnRlZ3JhbC4KCgpBbyBjb25jbHVpciBhIHByZXNlbnRlIGV0YXBhIGUgYXMgZXRhcGFzIHN1YnNlccO8ZW50ZXMgZG8gcHJvY2Vzc28gZGUKc3VibWlzc8OjbyBkZSBhcnF1aXZvcyDDoCBCaWJsaW90ZWNhIFZpcnR1YWwgRkdWLCB2b2PDqiBhdGVzdGEgcXVlIGxldSBlCmNvbmNvcmRhIGludGVncmFsbWVudGUgY29tIG9zIHRlcm1vcyBhY2ltYSBkZWxpbWl0YWRvcywgYXNzaW5hbmRvLW9zCnNlbSBmYXplciBxdWFscXVlciByZXNlcnZhIGUgbm92YW1lbnRlIGNvbmZpcm1hbmRvIHF1ZSBjdW1wcmUgb3MKcmVxdWlzaXRvcyBpbmRpY2Fkb3Mgbm8gaXRlbSAxLCBzdXByYS4KCkhhdmVuZG8gcXVhbHF1ZXIgZGlzY29yZMOibmNpYSBlbSByZWxhw6fDo28gYW9zIHByZXNlbnRlcyB0ZXJtb3Mgb3UgbsOjbwpzZSB2ZXJpZmljYW5kbyBvIGV4aWdpZG8gbm8gaXRlbSAxLCBzdXByYSwgdm9jw6ogZGV2ZSBpbnRlcnJvbXBlcgppbWVkaWF0YW1lbnRlIG8gcHJvY2Vzc28gZGUgc3VibWlzc8Ojby4gQSBjb250aW51aWRhZGUgZG8gcHJvY2Vzc28KZXF1aXZhbGUgw6AgYXNzaW5hdHVyYSBkZXN0ZSBkb2N1bWVudG8sIGNvbSB0b2RhcyBhcyBjb25zZXHDvMOqbmNpYXMgbmVsZQpwcmV2aXN0YXMsIHN1amVpdGFuZG8tc2UgbyBzaWduYXTDoXJpbyBhIHNhbsOnw7VlcyBjaXZpcyBlIGNyaW1pbmFpcyBjYXNvCm7Do28gc2VqYSB0aXR1bGFyIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBwYXRyaW1vbmlhaXMgZS9vdSBjb25leG9zCmFwbGljw6F2ZWlzIMOgIE9icmEgZGVwb3NpdGFkYSBkdXJhbnRlIGVzdGUgcHJvY2Vzc28sIG91IGNhc28gbsOjbyB0ZW5oYQpvYnRpZG8gcHLDqXZpYSBlIGV4cHJlc3NhIGF1dG9yaXphw6fDo28gZG8gdGl0dWxhciBwYXJhIG8gZGVww7NzaXRvIGUKdG9kb3Mgb3MgdXNvcyBkYSBPYnJhIGVudm9sdmlkb3MuCgoKUGFyYSBhIHNvbHXDp8OjbyBkZSBxdWFscXVlciBkw7p2aWRhIHF1YW50byBhb3MgdGVybW9zIGRlIGxpY2VuY2lhbWVudG8gZQpvIHByb2Nlc3NvIGRlIHN1Ym1pc3PDo28sIGVudHJlIGVtIGNvbnRhdG8gY29tIFtuY2VwZ2VAZmd2LmJyXQo=
dc.title.por.fl_str_mv Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
title Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
spellingShingle Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
França, Daniel Mussi
Futuro
CASADO
Opções
Superfície de volatilidade
Spot
Future
Options
Volatility surface
Economia
Administração de risco
Mercado de opções
Mercado de capitais
title_short Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
title_full Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
title_fullStr Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
title_full_unstemmed Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
title_sort Derivativos cambiais do mercado brasileiro: precificação e administração de riscos
author França, Daniel Mussi
author_facet França, Daniel Mussi
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Bonomo, Marco Antônio Cesar
Hartung, Gabriel Chequer
dc.contributor.author.fl_str_mv França, Daniel Mussi
dc.contributor.advisor1.fl_str_mv Lowenkron, Alexandre
contributor_str_mv Lowenkron, Alexandre
dc.subject.por.fl_str_mv Futuro
CASADO
Opções
Superfície de volatilidade
topic Futuro
CASADO
Opções
Superfície de volatilidade
Spot
Future
Options
Volatility surface
Economia
Administração de risco
Mercado de opções
Mercado de capitais
dc.subject.eng.fl_str_mv Spot
Future
Options
Volatility surface
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Administração de risco
Mercado de opções
Mercado de capitais
description Trabalho sobre precificação e administração de riscos de derivativos cambiais do mercado brasileiro.
publishDate 2010
dc.date.accessioned.fl_str_mv 2010-08-16T13:29:07Z
dc.date.available.fl_str_mv 2010-08-16T13:29:07Z
dc.date.issued.fl_str_mv 2010-05-24
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 FRANÇA, Daniel Mussi. Derivativos cambiais do mercado brasileiro: precificação e administração de riscos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/6958
identifier_str_mv FRANÇA, Daniel Mussi. Derivativos cambiais do mercado brasileiro: precificação e administração de riscos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.
url https://hdl.handle.net/10438/6958
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
bitstream.url.fl_str_mv https://repositorio.fgv.br/bitstreams/f475db7a-40f0-4394-90b3-a4863c91a87c/download
https://repositorio.fgv.br/bitstreams/e9ef8f27-d9c7-4382-a2c5-518278c9ca8e/download
https://repositorio.fgv.br/bitstreams/d1b28e5c-2db5-4116-bba6-70c783f31b56/download
https://repositorio.fgv.br/bitstreams/eccece93-46ca-483c-b745-2014c80b8e51/download
bitstream.checksum.fl_str_mv bd55aa471671063df411c7c9a2d1f1a6
4dea6f7333914d9740702a2deb2db217
cce0d6293c6e8b5b304bd6d28cedfe37
0e8246ef19bbcc3ab3caae50a875c0e0
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv
_version_ 1810023623762640896

Registros relacionados