L’entreprise. Pour un dirigeant-entrepreneur de PME, les choses vont bien au-delà d’une simple entité économique ; il s’agit d’avantage d’une idée, d’un projet, plus que de simples considérations économiques. En plus de la maîtrise du marché économique, le dirigeant de l’entreprise doit également s’intéresser à d’autres préoccupations pour assurer la pérennité de son organisation, et notamment son environnement juridique. Celui-ci est une source de risques pour l’entreprise et son dirigeant, notamment de risque juridique de contentieux économique. Alors comment éviter la banqueroute ? Les dernières réformes législatives, traduisant les profondes mutations en matière de procédure civile, apportent des instruments de gouvernance juridique de l’entreprise permettant à son dirigeant de lutter contre le risque de contentieux économique. Comment ? Tantôt par l’instauration d’une obligation de prévention des risques via la mise en œuvre d’un plan de vigilance aux fins d’éviter la survenance d’un risque juridique ; tantôt par une résolution dé-judiciarisée ou privatisée, via le développement des modes amiables et alternatifs de résolution des différends, dès lors qu’un risque survient, pour éviter d’être confronté au contentieux économique, entendu en tant que procès civil traditionnel. Un tour d’horizon des possibilités qui s’offrent aux dirigeants-entrepreneurs de PME, pour un développement économique sécurisé, et assurer la pérennité de l’organisation dans un environnement juridique et social en perpétuelle évolution, brisant ainsi les frontières traditionnelles de la justice / A company. For a small or medium business, things go far beyond than just a simple economic organization. It is more about an idea, a project, than simple economic problematics. Besides grasping the economic market within, the business manager also needs to stay aware of other concerns, such as its legal environment. The latter is usualy complex, underrated and at the origin of many risks for the company and its CEO, such as economic litigation. Consequently, how avoid bankruptcy? Accordingly to the last legislative amendments that express many important transformations of civil procedure, the creation of new legal governance tools can help the entrepreneur to fight against economic litigation risks. How? Considering the fact that the amendments tend towards accountability, by establishing an obligation of risks prevention, and towards the empowerment of in house counsels by directly participating in the resolution of disputes, corporations has to enforce a legal governance that participates to the prevention of economic litigation. The thesis proposes a guide to legal governance of companies by first introducing a vigilance plan to alleviate any legal risk, and by recommending a private resolution solution through the recent raise of alternative dispute resolutions to avoid any economic litigation as a traditional civil lawsuit. Therefore, the thesis is an overview of all the options that entrepeneurs and business managers of small and medium companies have for a safe economic developement to ensure the sustainability of the organisation, in a perpetually evolving legal and social environment, going beyond traditional justice

La prolifération des traités bilatéraux d'investissement a contribué, ces dernières années, à l'augmentation des litiges portés devant les tribunaux d'arbitrage du Centre International pour le Règlement des Différends relatifs aux Investissements (CIRDI). En effet, les clauses de règlement des différends contenus dans ces traités ont permis aux investisseurs étrangers de saisir directement les tribunaux CIRDI en cas de violation par l'État d'accueil de l'investissement des dispositions protectrices ou de traitement prévues dans ces traités. La présence de l'État au contentieux CIRDI fait que les litiges soumis aux tribunaux arbitraux portent par nature sur des questions de responsabilité. Dès lors, l'invocation par les arbitres des règles coutumières du droit de la responsabilité de l'État, telles que codifiées par la Commission du droit international, est quasi systématique. Au regard de la pratique arbitrale, cette thèse se veut un essai sur les interactions entre le droit de la responsabilité de l'État et l'arbitrage CIRDI sur le fondement des traités de protection, l'objectif final étant de parvenir à une conclusion sur l'existence ou non d'un sous-système de responsabilité de l' État sur le fondement des traités de protection des investissements. Pour ce faire, suivant la démarche de codification de la Commission du droit International, elle met l'accent sur l'influence des règles coutumières d'engagement de la responsabilité de l'État sur la pratique des tribunaux d'arbitrage du CIRDI fondée sur les traités de protection ; et, sous l'angle de la mise en œuvre et du contenu de la responsabilité étatique, elle aborde, à la lumière du droit international général, les aspects de compétence des tribunaux d'arbitrage du CIRDI, les éléments de recevabilité des réclamations des investisseurs étrangers, et les questions liées à la réparation du préjudice causé par l'État. / With the proliferation of Bilateral Investment Treaties, many disputes have in the recent years been brought before arbitral tribunals under the auspices of the International Centre for the Settlement of Investment Disputes (ICSID). By virtue of dispute settlement clauses of such treaties, foreign investors are able to directly call upon the jurisdiction of ICSID in case of breach by the host State of its treaty-based protection and treatment obligations. Because of the State's involvement, ICSID disputes raise, by nature, issues of Sate Responsibility. Therefore, it is not surprising that ICSID arbitrators systematically rely on customary rules on State Responsibility as codified by the International Law Commission to form and motivate their opinions. The current thesis aims at assessing, in light of the arbitral practice, the interactions between the Law of State Responsibility and ICSID's treaty-based arbitration, with the objective to determine whether State responsibility under treaties is a self-contained regime. We have adopted the International Law Commission's codification approach to highlight, on one side, the influence of customary rules on engagement of State Responsibility on the practice of ICSID arbitral tribunals; and, on the other side, with regards to invocation and content of the State's responsibility, the relationships between general international law and salient aspects of the jurisdiction of ICSID tribunals, the admissibility of claims and the reparation of injury caused to the investor by the State.

L'époque contemporaine est marquée par l'expansion des modes alternatifs de règlement des différends dans tous les domaines de la vie juridique. Ce mouvement s'accompagne d'une large ouverture de l'arbitrabilité et de la transigeabilité. Mais une fois que l'on a ouvert les champs de l'arbitrage et de la transaction, encore faut-il savoir quels sont les pouvoirs des acteurs des modes alternatifs et quel peut être le contenu de la solution (sentence arbitrale ou transaction) issue du processus alternatif. Pour avancer dans cette réflexion, il importe de dépasser les seules notions d'arbitrabilité et de transigeabilité. A cette fin, nous avons recours au concept d'alternativité (PARTIE PRELIMINAIRE). Ce dernier présente l'intérêt d'embrasser l'ensemble des questions de fonds nécessaires à l'appréhension des modes alternatifs. Il est possible de le représenter sous la forme d'un triple test : - l'arbitrabilité ou la transigeabilité subjective ; - l'arbitrabilité ou la transigeabilité objective ; - les pouvoirs des acteurs des modes alternatifs et le contenu de la solution. La recherche du critère de l'alternativité révèle que l'ordre public devait être retenu comme seul critère (PREMIERE PARTIE). Une large faveur aux modes alternatifs nécessite la « désactivation » du critère de l'ordre public dans l'appréhension de l'arbitrabilité et de la transigeabilité, et ce afin de favoriser le bon déroulement des processus alternatifs. Ce faisant, l'action du critère de l'ordre public est déplacée dans le temps, une fois que le processus alternatif a opéré et fourni une solution aux parties. Se pose alors la question de l'éventuel contrôle du juge et plus précisément celui de l'intensité de ce contrôle sur la transaction ou la sentence arbitrale. Entre les écoles positiviste et libérale, l'auteur adopte une position modérée consistant dans l'acceptation dans contrôle approfondi qui ne soit pas pour autant incompatible avec le développement d'un ordre juridique alternatif. L'intérêt du recours à la propriété intellectuelle est double. En premier lieu, la propriété intellectuelle est traversée par toutes les branches de l'ordre public et, de ce fait, elle constitue un objet d'étude privilégié pour l'analyse du concept d'alternativité. En second lieu, l'étude du concept d'alternativité offre l'occasion de rechercher l'unité des propriétés intellectuelles face aux différentes branches de l'ordre public et, par conséquent, la même unité dans le prisme de l'alternativité / L'auteur n'a pas fourni de résumé anglais.

Before the 2008 financial crisis, most research in financial mathematics focused on the risk management and the pricing of options without considering effects of counterparties’ default, illiquidity problems, systemic risk and the role of the repurchase agreement (Repo). During the 2008 financial crisis, a frozen Repo market led to a shutdown of short sales in the stock market. Cyclical interdependencies among financial corporations caused that a default of one firm seriously affected other firms and even the whole financial network. In this dissertation, we will consider financial markets which are shaped by financial crisis. This will be done from two distinct perspectives, an investor’s and a regulator’s. From an investor’s perspective, recently models were proposed to compute the total valuation adjustment (XVA) of derivatives without considering a potential crisis in the market. In our research, we include a possible crisis by apply an alternating renewal process to describe a switching between a normal financial status and a financial crisis status. We develop a framework for pricing the XVA of a European claim in this state-dependent framework. We represent the price as a solution to a backward stochastic differential equation and prove the existence and uniqueness of the solution. To study financial networks from a regulator’s perspective, one popular method is the fixed point based approach by L. Eisenberg and T. Noe. However, in practice, there is no accurate record of the interbank liabilities and thus one has to estimate them to use Eisenberg - Noe type models. In our research, we conduct a sensitivity analysis of the Eisenberg - Noe framework, and quantify the effect of the estimation errors to the clearing payments. We show that the effect of the missing specification of interbank connection to clearing payments can be described via directional derivatives that can be represented as solutions of fixed point equations. We also compute the probability of observing clearing payment deviations of a certain magnitude.

The Nelson-Siegel framework published by Diebold and Li a decade ago created an important benchmark and originated several works in the literature of forecasting term structure of interest rates. For instance, the Arbitrage-Free Nelson-Siegel framework improved predictive performance by imposing no-arbitrage conditions to the Nelson-Siegel framework. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions to forecast the term structure. It is built on the top of the nonparametric constrained smoothing Bsplines yield curve model. This curve model has shown to be an optimum solution between financial integrity and respect to yield curve shapes. Even though this curve model may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson-Siegel frameworks. A software was developed with a complete implementation of yield curve fitting techniques discussed in this paper. DCOBS has been evaluated for ten years of brazilian government bond data and it has shown good consistence with stylized facts of yield curves. The results of DCOBS are promising, specially in short-term forecast, and has shown greater stability and lower root mean square errors than Arbitrage-Free Nelson-Siegel. / O framework Nelson-Siegel publicado por Diebold e Li uma década atrás criou um importante benchmark e originou diversos trabalhos na literatura de previsão de estrutura a termo de taxas de juros. Por exemplo, o framework Nelson-Siegel Livre de Arbitragem melhorou a performance preditiva impondo condições de não-arbitragem ao framework Nelson-Siegel. No entanto, estes frameworks foram construídos em cima do modelo de curvas paramétricas. Em casos mais sensíveis de formas de curvas, este modelo tem um desempenho muito ruim, afetando o resultado da previsão. Nós propomos o DCOBS com restrições de não-arbitragem para prever a estrutura a termo. Ele é construído em cima do modelo de curva não-paramétrico com B-Splines restritas e suavizadas. Este modelo demonstrou ser uma solução ótima entre integridade financeira e respeito às formas de curvas de juros. Embora este modelo de curva possa resultar em curvas forwards mais voláteis que os modelos paramétricos, ele é ainda mais acurado que aqueles do framework Nelson-Siegel. Um software foi desenvolvido com uma implementação completa das técnicas de ajustes de curvas de juros discutidas nesta dissertação. DCOBS foi avaliado utilizando dez anos de dados de títulos públicos do governo brasileiro e demonstrou boa consistência com os fatos estilizados das curvas de juros. Os resultados do DCOBS são promissores, especialmente na previsão de curto prazo, e demonstrou maior estabilidade e menor erro quadrático médio que o modelo Nelson-Siegel Livre de Arbitragem.

En France et au Brésil, les contrats de concession commerciale et de franchise sont généralement innommés, à l’exception de la concession commerciale de véhicules automobiles terrestres et de la franchise en droit brésilien. L’internationalité du litige met en évidence des difficultés spécifiques relatives à la détermination de la juridiction étatique compétente et du droit applicable au contrat de distribution. Il existe un désaccord au sein des tribunaux français quant à la nature de la responsabilité engagée par l’auteur de la rupture abusive du contrat. Ces difficultés sont mises en évidence dès lors que des règles en matière de compétence internationale de source communautaire sont applicables au litige, à la différence du litige soumis à l`arbitrage. Concernant le droit brésilien, l’étude dévoile une problématique relative à la place du principe de l’autonomie de la volonté des parties, lesquelles ne peuvent pas choisir le droit applicable à leur convention si le litige est soumis au juge étatique. En revanche, lorsque ce même contrat est soumis à l’arbitrage, les parties peuvent déterminer le droit applicable. / Distribution and franchising agreements are generally innominate commercial contracts under French and Brazilian law, with the exception of exclusive distribution agreements on land motor vehicles and the franchising under Brazilian law. The internationality of the dispute highlights specific difficulties relating to the determining the competent court and the applicable law. There is disagreement between French courts as to the nature of the liability by the person held responsible for the abusive breach of contract. These difficulties arise in cases where EU law-based rules of international jurisdiction are applicable to the dispute, contrary to the disputes which are subject to arbitration. In Brazilian law, the study exposes a problem concerning the place of the principle of party autonomy. The parties may not choose the law applicable to the contract if the dispute is submitted to a Brazilian judge. On the contrary, in case the contract is subject to arbitration, the parties may determine the applicable law.

Esta tese é composta por três ensaios relacionados a macrofinanças e economia regional. O primeiro artigo analisa a lucratividade de portfólios de pairs trading auto-financiados para os mercados acionários Brasileiro, Europeu e Americano utilizando duas metodologias diferentes de seleção de pares: os métodos da distância e cointegração. Uma comparação ampla das metodologias de pairs trading, com uma base de dados grande de diferentes mercados é capaz de elucidar os principais benefícios e fragilidades de cada método. De modo geral, os resultados mostram que diferentes estruturas de mercado favorecem diferentes estratégias de pairs trading. Mais especificamente, a seleção via cointegração desempenha melhor nos mercados Brasileiro e Europeu, enquanto que o método da distância gera resultados melhores para os Estados Unidos. A melhor estratégia em cada mercado possui um alpha significante com um beta negligenciável. No segundo trabalho analisamos duas questões: (i) a capacidade do Brasil em adotar uma política monetária independente das influências dos juros americanos e (ii) os impactos da política monetária brasileira e dos juros americanos nas expectativas de inflação. Os resultados indicam que, para o período entre 1999 e 2007, existe uma reduzida independência da política monetária brasileira, e que o contágio do Fed Funds rate sobre a taxa Selic ocorre de modo completo. Para o período entre 2002 e 2007, também encontramos que os juros americanos são mais relevantes para a determinação das expectativas de inflação do que a taxa Selic, sendo auxiliado pelo câmbio para controlar as expectativas de inflação. Por outro lado, no período entre 2010 e início de 2015, com a ausência de mudanças no Fed Funds, a Selic se tornou mais independente e reativa, tanto às expectativas de inflação quanto ao hiato do produto. O terceiro artigo consiste em recalcular a MIP para o Rio Grande do Sul e para o Brasil a fim de incluir nas interligações setoriais os efeitos induzidos advindos da renda das famílias. Além disso, calculam-se os geradores de cinco variáveis (a saber: emprego, renda, tributos líquidos arrecadados, valor adicionado e produto), bem como são calculados os índices de Hirschmann-Rasmussen e os índices puros de ligação com o intuito de identificar os setores-chave das economias do Rio Grande do Sul e do Brasil. Posteriormente, utiliza-se dos geradores reestimados pela nova MIP fechada para estimar os impactos das quebras de safra de soja nos anos que ocorreram as maiores perdas tanto de valor quanto de volume na produção da oleaginosa (2004, 2005 e 2012). Os resultados indicam que os geradores do Rio Grande do Sul e do Brasil aumentam consideravelmente após a inclusão do efeito induzido, para todas as variáveis e setores analisados. Já as estimativas de impacto das quebras de safra indicam que as perdas podem chegar a até R$ 8,9 Bilhões para o RS e R$ 12,5 Bilhões para o Brasil em termos de queda na produção. / This thesis consists of three essays related to financial macroeconomics and regional economics. The first essay analyzes the profitability of self-financing portfolios using pairs trading for the Brazilian, European, and American stock markets using two different pairs selection methodologies: the distance and cointegration methods. A throughout comparison of pairs trading methodologies using large datasets from different markets uncovers the main benefits and drawbacks of each approach. Overall, the results show that different market structures favor different pairs trading strategies. More specifically, the cointegration approach performed better on the Brazilian and European markets, while the distance method delivered better results for the US. The best strategy in each market yields significant alpha with negligible beta. The ability of a country to use monetary policy in order to smooth economic fluctuations and keep inflation in check is crucial in an institutional framework of inflation targeting. Hence, in the second work, we examined two issues: (i) Brazil’s ability to adopt a monetary policy independent from the contagion of the american interest rates and (ii) the impact of the brazilian monetary policy and of the american interest rate on inflation expectations. The results indicate that for the period between 1999 and 2007, there is a reduced independence of the brazilian monetary policy, and that the spillover of the Fed Funds rate over the Selic rate is comprehensive. For the period between 2002 and 2007, we also found that US interest rates are more relevant to the determination of inflation expectations than the Selic rate, being helped by the exchange rate to control inflation expectations. On the other hand, for the period between 2010 and early 2015, with no occurance of changes in the Fed Funds, the Selic became more independent and responsive to inflation expectations as well as to the output gap. The third paper consist of reestimating the Input-Output Matrix for Rio Grande do Sul and Brazil, in order to include in the sectoral linkages the induced effects arising from household income. Also, we estimate the multipliers for five variables (employment, income, net taxes collected, added value and gross product), as well as the Hirschmann-Rasmussen index and the Pure Linkages in order to identify the key-sectors of the Rio Grande do Sul and Brazil’s economy. We also use those multipliers to estimate the impacts of the soybean crop failure in Rio Grande do Sul, in the years with the biggest crop losses in terms of volume (2004, 2005 and 2012). The results indicate that the multipliers increase considerably after the inclusion of the induced effect, for all valiables and sectors. The crop failures indicate that the losses could reach up to R$ 8,9 Billions for RS and R$ 12,5 Billions for Brasil in terms of reduced economic activity.

Nesta tese discutimos abordagens que utilizam cópulas para descrever dependências entre instrumentos nanceiros e avaliamos a performance destes métodos. Muitas crises nanceiras aconteceram desde o nal da década de 90, incluindo a crise asiática (1997), a crise da dívida da Rússia (1998), a crise da bolha da internet (2000), as crises após o 9/11 (2001) e a guerra do Iraque (2003), a crise do subprime or crise nanceira global (2007-08), e a crise da dívida soberana europeia (2009). Todas estas crises levaram a uma perda maciça de riqueza nanceira e a um aumento da volatilidade observada, e enfatizaram a importância de uma política macroprudencial mais robusta. Em outras palavras, perturbações nanceiras tornam os processos econômicos altamente não-lineares, levando os principais bancos centrais a tomarem medidas contrárias para conter a angústia - nanceira. Devido aos complexos padrões de dependência dos mercados nanceiros, uma abordagem multivariada em grandes dimensões para a análise da dependência caudal é seguramente mais perspicaz do que assumir retornos com distribuição normal multivariada. Dada a sua exibilidade, as cópulas são capazes de modelar melhor as regularidades empiricamente veri cadas que são normalmente atribuídas a retornos nanceiros multivariados: (1) volatilidade condicional assimétrica com maior volatilidade para grandes retornos negativos e menor volatilidade para retornos positivos (HAFNER, 1998); (2) assimetria condicional (AIT-SAHALIA; BRANDT, 2001; CHEN; HONG; STEIN, 2001; PATTON, 2001); (3) excesso de curtose (TAUCHEN, 2001; ANDREOU; PITTIS; SPANOS, 2001); e (4) dependência temporal não linear (CONT, 2001; CAMPBELL; LO; MACKINLAY, 1997). A principal contribuição dos ensaios é avaliar se abordagens mais so sticadas do que o método da distância e o tradicional modelo de Markowitz podem tirar proveito de quaisquer anomalias/fricções de mercado. Os ensaios são uma tentativa de fornecer uma análise adequada destas questões usando conjuntos de dados abrangentes e de longo prazo. Empiricamente, demonstramos que as abordagens baseadas em cópulas são úteis em todos os ensaios, mostrando-se bené cas para modelar dependências em diferentes cenários, avaliando as medidas de risco caudais mais adequadamente e gerando rentabilidade superior a dos benchmarks utilizados. / In this thesis we discuss copula-based approaches to describe statistical dependencies within nancial instruments and evaluate its performance. Many nancial crises have occurred since the late 1990s, including the Asian crisis (1997), the Russian national debt crisis (1998), the dot-com bubble crisis (2000), the crises after 9-11 (2001) and Iraq war (2003), the subprime mortgage crisis or global nancial crisis (2007-08), and the European sovereign debt crisis (2009). All of these crises lead to a massive loss of nancial wealth and an upward in observed volatility and have emphasized the importance of a more robust macro-prudential policy. In other words, nancial disruptions make the economic processes highly nonlinear making the major central banks to take counter-measures in order to contain nancial distress. The methods for modeling uncertainty and evaluating the market risk on nancial markets are now under more scrutiny after the global nancial crisis. Due to the complex dependence patterns of nancial markets, a high-dimensional multivariate approach to tail dependence analysis is surely more insightful than assuming multivariate normal returns. Given its exibility, copulas are able to model better the empirically veri ed regularities normally attributed to multivariate nancial returns: (1) asymmetric conditional volatility with higher volatility for large negative returns and smaller volatility for positive returns (HAFNER, 1998); (2) conditional skewness (AITSAHALIA; BRANDT, 2001; CHEN; HONG; STEIN, 2001; PATTON, 2001); (3) excess kurtosis (TAUCHEN, 2001; ANDREOU; PITTIS; SPANOS, 2001); and (4) nonlinear temporal dependence (CONT, 2001; CAMPBELL; LO; MACKINLAY, 1997). The principal contribution of the essays is to assess if more sophisticated approaches than the distance method and plain Markowitz model can take advantage of any market anomalies/ fricctions. The essays are one attempt to provide a proper analysis in these issues using a long-term and comprehensive datasets. We empirically show that copula-based approaches are useful in all essays, proving bene cial to model dependencies in di erent scenarios, assessing the downside risk measures more adequately and yielding higher profitability than the benchmarks.

L’OHADA et le Mercosur sont deux organisations régionales qui ont été créées afin d’accentuer l’intégration et de favoriser la sécurité judiciaire et juridique pour les opérateurs du commerce international. En d’autres mots, leur objectif est d’aider au développement économique des pays membres. Dès le fonctionnement de ces deux organisations, le recours à l’arbitrage a été privilégié comme mode de règlement des différends liés au commerce international. Partant de là, il nous est apparu envisageable d’établir un lien entre la notion de développement et celle arbitrage commercial international. Presque vingt ans après la création de l’OHADA et du Mercosur, cette étude se propose d’évaluer les liens entre l’arbitrage et le développement. Cette évaluation se base sur l’observation de l’influence de l’arbitrage sur le processus d’intégration et sur l’apport de cette technique aux efforts d’amélioration de la sécurité judiciaire et juridique dans le milieu du comme international. / OHADA and Mercosur are two regional organizations that were created to enhance the integration and promote judicial and legal certainty for international traders. In other words, their goal is to help the economic development of member countries. From the operation of these two organizations, arbitration was favored as a means of resolving disputes in international trade. From there, it became possible to establish a link between the concept and the development of international commercial arbitration. Almost twenty years after the creation of OHADA and Mercosur, this study aims to assess the relationship between arbitration and development. This assessment is based on the observation of the influence of arbitration on the integration process and the contribution of this technique towards the improvement of judicial and legal certainty in international affairs.

The Nelson-Siegel framework published by Diebold and Li a decade ago created an important benchmark and originated several works in the literature of forecasting term structure of interest rates. For instance, the Arbitrage-Free Nelson-Siegel framework improved predictive performance by imposing no-arbitrage conditions to the Nelson-Siegel framework. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions to forecast the term structure. It is built on the top of the nonparametric constrained smoothing Bsplines yield curve model. This curve model has shown to be an optimum solution between financial integrity and respect to yield curve shapes. Even though this curve model may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson-Siegel frameworks. A software was developed with a complete implementation of yield curve fitting techniques discussed in this paper. DCOBS has been evaluated for ten years of brazilian government bond data and it has shown good consistence with stylized facts of yield curves. The results of DCOBS are promising, specially in short-term forecast, and has shown greater stability and lower root mean square errors than Arbitrage-Free Nelson-Siegel. / O framework Nelson-Siegel publicado por Diebold e Li uma década atrás criou um importante benchmark e originou diversos trabalhos na literatura de previsão de estrutura a termo de taxas de juros. Por exemplo, o framework Nelson-Siegel Livre de Arbitragem melhorou a performance preditiva impondo condições de não-arbitragem ao framework Nelson-Siegel. No entanto, estes frameworks foram construídos em cima do modelo de curvas paramétricas. Em casos mais sensíveis de formas de curvas, este modelo tem um desempenho muito ruim, afetando o resultado da previsão. Nós propomos o DCOBS com restrições de não-arbitragem para prever a estrutura a termo. Ele é construído em cima do modelo de curva não-paramétrico com B-Splines restritas e suavizadas. Este modelo demonstrou ser uma solução ótima entre integridade financeira e respeito às formas de curvas de juros. Embora este modelo de curva possa resultar em curvas forwards mais voláteis que os modelos paramétricos, ele é ainda mais acurado que aqueles do framework Nelson-Siegel. Um software foi desenvolvido com uma implementação completa das técnicas de ajustes de curvas de juros discutidas nesta dissertação. DCOBS foi avaliado utilizando dez anos de dados de títulos públicos do governo brasileiro e demonstrou boa consistência com os fatos estilizados das curvas de juros. Os resultados do DCOBS são promissores, especialmente na previsão de curto prazo, e demonstrou maior estabilidade e menor erro quadrático médio que o modelo Nelson-Siegel Livre de Arbitragem.