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A duration e um modelo alternativo: um teste empírico

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  • Ferreira, Luiz Francisco Rogé
  • Andrade, Ricardo Soares de

Abstract

Hedging strategies for bond portfolios are usually based on the concept of duration. This concept considers that shifts in the yield curve are the same for all the term structure of interest rates, which means that shifts in the yield curve are parallel. This article intends to test this assumption using the BM&F’s interest rate future market in 1996. It also compares hedging strategies based on duration to hedging strategies based on an alternative model, which considers the effects of non-parallel shifts in the yield curve.

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  • Ferreira, Luiz Francisco Rogé & Andrade, Ricardo Soares de, 1999. "A duration e um modelo alternativo: um teste empírico," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 39(4), October.
    • Handle: RePEc:fgv:eaerae:v:39:y:1999:i:4:a:37803
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    References listed on IDEAS

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    1. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1, March.
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