INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS

Detalhes bibliográficos
Autor(a) principal: Machado, Sérgio Jurandyr
Data de Publicação: 2013
Outros Autores: Figueiredo Pinto, Antonio Carlos
Tipo de documento: Artigo
Idioma: por
Título da fonte: REAd (Porto Alegre. Online)
Texto Completo: https://seer.ufrgs.br/index.php/read/article/view/39178
Resumo: Immunization is defined as the investment in assets in such a way that the fixed income portfolio is immune to a change in interest rates. In the special case of pension funds, immunization seeks the distribution of the cash inflows in accordance with the outflows represented by the fund’s liabilities. The article seeks to compare the performance of different models of immunization based on distinct mathematical programming constraints when applied to interest rate risk management of a predetermined flow of payments within a pension fund. Although there is a great amount of articles that try to tackle interest rate risk and deal with the statistical aspects and economic meaning of many sorts of immunization models, this article represents an attempt to provide an unique comprehensive analysis that takes into account not only the method itself, but also the dimension and the investment horizon of the pension fund industry.  It is demonstrated that traditional duration models, when examined under the conjoint perspective of interest rate risk mitigation, imposed constraints to set up the immunized portfolios and associated transaction costs, are more efficient, especially on the medium and long terms. Multidimensional models presented a better performance only on a short term basis.
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spelling INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMSDIMENSIÓN Y HORIZONTE DE INVERSIÓN EN CARTERAS INMUNIZADAS: UN ANÁLISIS BAJO LA PERSPECTIVA DE LAS ENTIDADES DE PREVENCIÓN COMPLEMENTARIADIMENSÃO E HORIZONTE DE INVESTIMENTO EM CARTEIRAS IMUNIZADAS: UMA ANÁLISE SOB A PERSPECTIVA DAS ENTIDADES DE PREVIDÊNCIA COMPLEMENTARrisco de taxa de jurosduraçãoimunizaçãoíndice de renda fixaentidade de previdência complementarInterest rate risk managementdurationimmunizationfixed income indexpension fundriesgo de tipo de interésduracióninmunizacióníndice de renta fijaentidad de prevención complementariaImmunization is defined as the investment in assets in such a way that the fixed income portfolio is immune to a change in interest rates. In the special case of pension funds, immunization seeks the distribution of the cash inflows in accordance with the outflows represented by the fund’s liabilities. The article seeks to compare the performance of different models of immunization based on distinct mathematical programming constraints when applied to interest rate risk management of a predetermined flow of payments within a pension fund. Although there is a great amount of articles that try to tackle interest rate risk and deal with the statistical aspects and economic meaning of many sorts of immunization models, this article represents an attempt to provide an unique comprehensive analysis that takes into account not only the method itself, but also the dimension and the investment horizon of the pension fund industry.  It is demonstrated that traditional duration models, when examined under the conjoint perspective of interest rate risk mitigation, imposed constraints to set up the immunized portfolios and associated transaction costs, are more efficient, especially on the medium and long terms. Multidimensional models presented a better performance only on a short term basis.El término inmunización denota la construcción de una cartera de títulos de forma a tornarla indemne a variaciones en los tipos de interés. En el caso de las entidades de prevención complementaria, el objetivo de la inmunización es distribuir los recibimientos intermediarios y finales de los activos de acuerdo con el flujo de pagos de los beneficios. Por regla general, cuanto mayor la clase de alteraciones en la estructura a término de los tipos de interés, más restrictivo se vuelve el modelo. El artículo busca comparar el desempeño de modelos de gestión de riesgo de tipo de interés que, basados en alternativas distintas de programación matemáticas, objetivan garantizar el pago del flujo futuro de beneficios. Aunque exista una vasta literatura sobre el aspecto estadístico y sobre el significado económico de los modelos de inmunización, el artículo innova al proveer un análisis detallada del desempeño comparado de los modelos, bajo tres perspectivas complementarias: el método elegido, la dimensión y, todavía, el horizonte de inversión. El análisis permite concluir que los modelos de inmunización tradicional, cuando examinados bajo la óptica conjunta de la reducción del riesgo, de las restricciones impuestas al formateo de la cartera y de los costes de transacción asociados, son más eficientes, en mediano y largo plazo, que los modelos multidimensionales de gestión del riesgo de tipo de interés, los cuales se muestran superiores sólo en la gestión restricta al corto plazo.O termo imunização denota a construção de uma carteira de títulos de forma a torná-la imune a variações nas taxas de juros. No caso das entidades de previdência complementar, o objetivo da imunização é distribuir os recebimentos intermediários e finais dos ativos de acordo com o fluxo de pagamentos dos benefícios. Em geral, quanto maior a classe de alterações na estrutura a termo das taxas de juros, mais restritivo se torna o modelo. O artigo busca comparar o desempenho de modelos de gestão de risco de taxa de juros que, baseados em alternativas distintas de programação matemática, objetivam garantir o pagamento do fluxo futuro de benefícios. Embora exista uma vasta literatura sobre o aspecto estatístico e sobre o significado econômico dos modelos de imunização, o artigo inova ao prover uma análise detalhada do desempenho comparado dos modelos, sob três perspectivas complementares: o método escolhido, a dimensionalidade e, ainda, o horizonte de investimento. A análise permite concluir que os modelos de imunização tradicional, quando examinados sob a ótica conjunta da redução do risco, das restrições impostas à formatação da carteira e dos custos de transação associados, são mais eficientes, no médio e longo prazo, que os modelos multidimensionais de gestão do risco de taxa de juros, os quais se mostram superiores apenas na gestão restrita ao curto prazo.Universidade Federal do Rio Grande do Sul2013-04-22info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articlearticulo científicoAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/39178Electronic Review of Administration; Vol. 15 No. 1 (2009): Edição 62 - jan/abr 2009; 1-22Revista Electrónica de Administración; Vol. 15 Núm. 1 (2009): Edição 62 - jan/abr 2009; 1-22Revista Eletrônica de Administração; v. 15 n. 1 (2009): Edição 62 - jan/abr 2009; 1-221413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/39178/25040Machado, Sérgio JurandyrFigueiredo Pinto, Antonio Carlosinfo:eu-repo/semantics/openAccess2014-02-12T16:59:32Zoai:seer.ufrgs.br:article/39178Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2014-02-12T16:59:32REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
DIMENSIÓN Y HORIZONTE DE INVERSIÓN EN CARTERAS INMUNIZADAS: UN ANÁLISIS BAJO LA PERSPECTIVA DE LAS ENTIDADES DE PREVENCIÓN COMPLEMENTARIA
DIMENSÃO E HORIZONTE DE INVESTIMENTO EM CARTEIRAS IMUNIZADAS: UMA ANÁLISE SOB A PERSPECTIVA DAS ENTIDADES DE PREVIDÊNCIA COMPLEMENTAR
title INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
spellingShingle INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
Machado, Sérgio Jurandyr
risco de taxa de juros
duração
imunização
índice de renda fixa
entidade de previdência complementar
Interest rate risk management
duration
immunization
fixed income index
pension fund
riesgo de tipo de interés
duración
inmunización
índice de renta fija
entidad de prevención complementaria
title_short INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
title_full INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
title_fullStr INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
title_full_unstemmed INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
title_sort INVESTMENT DIMENSION AND HORIZON IN IMMUNIZED PORTFOLIOS: AN ANALYSIS UNDER THE PERSPECTIVE OF COMPLEMENTARY PRIVATE PENSION PLAN SYSTEMS
author Machado, Sérgio Jurandyr
author_facet Machado, Sérgio Jurandyr
Figueiredo Pinto, Antonio Carlos
author_role author
author2 Figueiredo Pinto, Antonio Carlos
author2_role author
dc.contributor.author.fl_str_mv Machado, Sérgio Jurandyr
Figueiredo Pinto, Antonio Carlos
dc.subject.por.fl_str_mv risco de taxa de juros
duração
imunização
índice de renda fixa
entidade de previdência complementar
Interest rate risk management
duration
immunization
fixed income index
pension fund
riesgo de tipo de interés
duración
inmunización
índice de renta fija
entidad de prevención complementaria
topic risco de taxa de juros
duração
imunização
índice de renda fixa
entidade de previdência complementar
Interest rate risk management
duration
immunization
fixed income index
pension fund
riesgo de tipo de interés
duración
inmunización
índice de renta fija
entidad de prevención complementaria
description Immunization is defined as the investment in assets in such a way that the fixed income portfolio is immune to a change in interest rates. In the special case of pension funds, immunization seeks the distribution of the cash inflows in accordance with the outflows represented by the fund’s liabilities. The article seeks to compare the performance of different models of immunization based on distinct mathematical programming constraints when applied to interest rate risk management of a predetermined flow of payments within a pension fund. Although there is a great amount of articles that try to tackle interest rate risk and deal with the statistical aspects and economic meaning of many sorts of immunization models, this article represents an attempt to provide an unique comprehensive analysis that takes into account not only the method itself, but also the dimension and the investment horizon of the pension fund industry.  It is demonstrated that traditional duration models, when examined under the conjoint perspective of interest rate risk mitigation, imposed constraints to set up the immunized portfolios and associated transaction costs, are more efficient, especially on the medium and long terms. Multidimensional models presented a better performance only on a short term basis.
publishDate 2013
dc.date.none.fl_str_mv 2013-04-22
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
scientific article
articulo científico
Avaliado pelos pares
artigo científico
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/39178
url https://seer.ufrgs.br/index.php/read/article/view/39178
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/read/article/view/39178/25040
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
publisher.none.fl_str_mv Universidade Federal do Rio Grande do Sul
dc.source.none.fl_str_mv Electronic Review of Administration; Vol. 15 No. 1 (2009): Edição 62 - jan/abr 2009; 1-22
Revista Electrónica de Administración; Vol. 15 Núm. 1 (2009): Edição 62 - jan/abr 2009; 1-22
Revista Eletrônica de Administração; v. 15 n. 1 (2009): Edição 62 - jan/abr 2009; 1-22
1413-2311
1980-4164
reponame:REAd (Porto Alegre. Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str REAd (Porto Alegre. Online)
collection REAd (Porto Alegre. Online)
repository.name.fl_str_mv REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ea_read@ufrgs.br
_version_ 1799766202508115968

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