Estrutura a termo da taxa de juros e imunização: novas perspectivas na gestão do risco de taxa de juros em fundo de pensão

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 compares two alternative methods of immunization against the traditional duration-matching strategy. Both portfolios were obtained as a result of linear programming problems, where the choice of the immunization strategy led to the restrictions imposed. The measure used to assess the performance of each portfolio was the value at risk (VaR), here defined as the difference of the assets and liabilities present values. A simulation for the Brazilian term structure of interest rates was conducted in order to provide the possible outcomes for future rates, making it possible to compute the value at risk of the actual assets against the long-term liabilities. The article provides the basis for selecting the most appropriate method for immunization and also demonstrates the superiority of both alternatives against the traditional duration-matching strategy, helping to devise a consistent investment policy for pension funds.