Thesis (M.Eng. (Development and Management Engineering)--North-West University, Potchefstroom Campus, 2008.

Avec la globalisation financière, une concurrence internationale accrue, l'importance de plus en plus grandissante des marchés financiers, chaque année des centaines de dirigeants introduisent leur société en bourse ou transfèrent le marché de cotation des titres de leur société. Les dirigeants changent la place ou le marché de cotation des titres de leur entreprise pour diverses raisons. Entre autres, nous pouvons citer la recherche d'une plus grande visibilité, du prestige, de la liquidité ou d'une source de financement alternative… Cette opération de changement de marché/compartiment de cotation à l'instar d'autres opérations sur titres (OPA, OPE, OPR, augmentation de capital, division d'action…) est susceptible d'influencer le cours des titres et certaines caractéristiques financières des sociétés qui la font. Le changement de compartiment de cotation au sein d'une bourse est un sujet qui a été relativement peu traité dans la littérature financière. Ses motivations et ses conséquences n'ont pas été assez explorées. L'objectif de ce travail de recherche est de combler ce vide en cherchant, dans un premier temps, à identifier les facteurs déterminants du transfert de compartiment de cotation et dans un second temps, à analyser les effets du transfert compartiment de cotation sur la valeur de l'entreprise migrante. En outre, nous tentons également de trouver des explications aux réactions du marché observées. Ce travail de recherche est très intéressant, car il porte sur une problématique qui n'a, jusque là, pas été suffisamment abordée par la littérature financière. De plus, la thématique est à la croisée de plusieurs domaines de recherche en Finance (microstructure, finance de marché, finance d'entreprise et comptabilité). Il ambitionne d'apporter un éclairage sur le transfert de marché de cotation à plusieurs niveaux. Tout d'abord, au delà des aspects méthodologiques, ce travail de recherche pourrait aider les dirigeants à mieux comprendre les conséquences économiques de leur décision de transférer les titres de leur société sur un compartiment plus exigeant, plus visible et mieux réglementé. Il pourrait apporter aux places boursières de nouveaux arguments pour justifier la création ou l'existence de plusieurs compartiments adaptés aux besoins des différentes sociétés émettrices. Enfin, ce travail pourrait servir aux investisseurs à mettre en place des stratégies pour profiter des opérations de transfert de marché. / With financial globalization and the increasingly significant role of financial markets, hundreds of managers are motivated each year to list their company or to move their firm's common stocks to a different listing location. This can be explained for a number of reasons. Among these are included the search for greater visibility, prestige, liquidity and/or for an alternative source of financing. Listing location transfer, like other securities transactions (takeover bids, seasoned equity offering, splits...) is likely to influence stock prices and certain financial characteristics (e.g. profitability, liquidity, risk) of the firms involved. Indeed, through such an operation, the CEO's send a signal to the financial markets in terms of their confidence in their firm's future prospects. Consequently, if the market perceives this transfer to be a signal for quality improvements among others, it might react favorably to its announcement. Listing market switching can take several forms. The transfer can be made between two independent stock markets from the same country (stock exchange transfer) or between two marketplaces located in two different countries (cross-listing). It can also be realized between two sections of the same stock exchange (stock exchange compartment transfer). This last category of market transfer is relatively unaddressed by financial literature. Its motivations and consequences were not investigated enough. In this research work, we attempt, in one hand, to identify the determinants of compartment transfer and on the other hand, to investigate its possible consequences. Our analysis has implications for managers who are faced with or are considering a decision to change the trading compartment of their stocks. We found evidence indicating that although the market appears to value a move to a more regulated market segment, the market's reaction is not uniform. Firms with relatively low liquidity before the transfer announcement have the most to gain in terms of a positive price movement and improvement in liquidity. Moreover, price increases observed after the transfer announcement are not permanent for all stocks. Thus managers need to give careful consideration to the possible effects on the pricing and liquidity behavior of firms being switched from a less regulated exchange section to a more regulated one. This research could also bring to stock marketplaces' managers new arguments to justify the creation or the existence of several compartments adapted to the needs of various issuing companies. Finally, this work could be used by investors to set up strategies to take advantage from an operation of stock exchange compartment transfer.

Submitted by Letícia Veiga (leticia@bancobbm.com.br) on 2009-10-14T18:14:21Z No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2009-10-14T18:23:26Z (GMT) No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / Made available in DSpace on 2009-10-14T18:23:52Z (GMT). No. of bitstreams: 1 dissertacao_mestrado.pdf: 463853 bytes, checksum: ed0352c5d2db550641e489785ec36cf2 (MD5) / In this work, we analyze the methodology developed by the Central Bank of Brazil, following rules set by Basel II, for estimating the Capital that must be held by Brazilian Banks in order to face its financial risks. The main objective is to compare this regulatory capital to the economic capital, the latter being measured by the methodology of Value at Risk (VaR). We asses and compare these two types of capital based on practical examples of portfolios commonly held by Brazilian banks trading different markets and strategies. Based on the results of this assessment, we analyze the difference and similarities of the two methodologies. We conclude emphasizing the importance of revising some aspects of Basel II rules in order to promote greater convergence between economic and regulatory capital. / Neste trabalho, analisamos a metodologia de cálculo do capital exigido aos bancos brasileiros pelo Banco Central do Brasil, segundo as regras de Basiléia II. O objetivo foi comparar capital regulamentar com capital econômico, medido por modelos de Value at Risk (VaR). Apresentamos exemplos de aplicação destes conceitos em carteiras normalmente negociadas por bancos brasileiros, mostrando a relação entre capital regulamentar e econômico para diversos mercados e estratégias. Tendo em vista as análises realizadas, realçamos os pontos de maior divergência entre os dois tipos de capital. Concluímos enfatizando a importância da revisão de alguns aspectos das regras de Basiléia II no sentido de promover maior convergência entre capital econômico e regulamentar.

Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-28T23:41:37Z No. of bitstreams: 1 Dissertacao Final.pdf: 2749375 bytes, checksum: aeb92d2552a8d73a4a238d90bce0e3af (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, o titulo "resumo" e "Abstrat" deverá ser em letra maiúscula, por gentileza ajustar esse procedimento. Aguardo. on 2014-08-29T20:14:52Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-08-29T20:57:35Z No. of bitstreams: 1 Dissertacao Final.pdf: 2750834 bytes, checksum: b056c57b7f07fe0bfb7a7aff0ba04ff5 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, Esta faltando a pagina da assinatura dos professores. Seu prazo para a entrega da versão final expira hoje 01/09/2014. Aguardo a correção. on 2014-09-01T12:24:23Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T15:04:36Z No. of bitstreams: 1 Dissertacao Final.pdf: 2752315 bytes, checksum: 1f4757805c3cf85bc5bd201146f9b6cb (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Anderson, A pagina das assinaturas não está nos padrões adequados. on 2014-09-01T15:09:53Z (GMT) / Submitted by ANDERSON TEIXEIRA (andisu_7@hotmail.com) on 2014-09-01T20:00:48Z No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2014-09-01T20:25:15Z (GMT) No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) / Made available in DSpace on 2014-09-01T20:28:24Z (GMT). No. of bitstreams: 1 Dissertacao Final.pdf: 2753769 bytes, checksum: 5b3fdf9115d83d697763f83b0a85dad9 (MD5) Previous issue date: 2014-08-01 / Leverage in hedge funds has been a matter of concern for investors and scholars in past years. Recent examples of such strategies have proved advantageous in periods of low uncertainty in the economy, but disastrous in times of crisis. In the field of quantitative finance, researchers have been trying to find a level of leverage that optimizes the return of an investment given the risk. In the literature, studies have been more qualitative than the quantitative , and have made little use of computational methods. One way to assess whether a leverage strategy earns higher returns than another is to define the objective function that relates risk and return for each strategy, find the constraints for the problem and solve it numerically through Monte Carlo simulations. This dissertation has adopted this approach to treat the investment in a long-short equity strategy in different scenarios: different forms of leverage, stock prices dynamics and levels of correlation between these prices. Dynamics simulations of invested capital due to changes in stock prices over time were made. Some criteria of credit guarantee, the possibility of buying and selling stocks during the investment period and the risk profile of the investor were considered in the simulations. Finally, we studied the distribution of the return on investment for different levels of leverage and it was possible to quantify which of these levels is more advantageous to the investment strategy given the constraints of risk. / Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

Submitted by RENATO MORI (rmori3@hotmail.com) on 2017-09-20T05:58:01Z No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-20T17:58:58Z (GMT) No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) / Made available in DSpace on 2017-09-21T13:36:32Z (GMT). No. of bitstreams: 1 dissertacao_VaRArmaGarchSkewt.pdf: 3267680 bytes, checksum: 6a8a935c128bb04a8a4f91fb592de3a8 (MD5) Previous issue date: 2017-08-22 / A proposta do estudo é aplicar ao Ibovespa, modelo paramétrico de VaR de 1 dia, com distribuição dos retornos dinâmica, que procura apreciar características empíricas comumente apresentadas por séries financeiras, como clusters de volatilidade e leptocurtose. O processo de retornos é modelado como um ARMA com erros GARCH que seguem distribuição t assimétrica. A metodologia foi comparada com o RiskMetrics e com modelos ARMA-GARCH com distribuição dos erros normal e t. Os modelos foram estimados diariamente usando uma janela móvel de 1008 dias. Foi verificado pelos backtests de Christoffersen e de Diebold, Gunther e Tay que dentre os modelos testados, o ARMA(2,2)- GARCH(2,1) com distribuição t assimétrica apresentou os melhores resultados. / The proposal of the study is to apply to Ibovespa a 1 day VaR parametric model, with dynamic distribution of returns, that aims to address empirical features usually seen in financial series, such as volatility clustering and leptocurtosis. The returns process is modeled as an ARMA with GARCH residuals that follow a skewed t distribution. The methodology was compared to RiskMetrics and to ARMA-GARCH with normal and t distributed residuals. The models were estimated every daily period using a window of 1008 days. By the backtests of Christoffersen and Diebold, Gunther and Tay, among the tested models, the ARMA(2,2)-GARCH(2,1) with skewed t distribution has given the best results.

Submitted by José Augusto Mazzoni Martins Ferreira (josemazzoni@bancobbm.com.br) on 2017-11-01T19:45:43Z No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-11-29T13:53:47Z (GMT) No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Made available in DSpace on 2017-11-29T13:54:08Z (GMT). No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) Previous issue date: 2017-01-24 / This work evaluates the regulatory capital required by Brazilian Central Bank (“BCB”) from financial institutions under its regulation, concerning the standard approach for marked risk, compared to alternative approaches commonly used by the financial industry, equivalent to VaR and Stress-Testing models. For a chosen group of risky assets (foreign currencies, stocks, stock indexes, commodities and interest rates), it was calculated the regulatory capital required by BCB under standard approach and compared to the estimated potential losses, according the alternative models. The results evidence a conservative position by BCB related to market risk of foreign currencies and interest rates, being more suitable for commodities and lenient for equities and their respective indexes. It is also possible to observe the existence of regulatory arbitrage, in which there is very low regulatory capital requirement (or no requirement) for certain risky assets portfolios. / Esse trabalho avalia o capital requerido pelo Banco Central do Brasil (“BCB”) das instituições financeiras por ele reguladas, para risco de mercado segundo abordagem padronizada, em comparação com métricas comumente adotadas pela indústria financeira, referentes aos modelos de VaR e Stress-Testing. Para um determinado grupo escolhido de ativos arriscados (moedas, ações, índice de ações, commodities e taxas de juros), foi aplicada a abordagem do BCB para o capital regulatório requerido e comparada com a perda potencial estimada pelos modelos alternativos. Os resultados evidenciam uma postura bastante conservadora por parte do BCB em relação aos riscos de mercado de moedas e taxas de juros, sendo mais ponderada para commodities e leniente para ações e seus respectivos índices. Pode-se também avaliar a existência de arbitragens regulatórias, onde há exigência muito baixa de capital regulatório (ou nenhuma exigência) para determinados portfólios arriscados.

The study focuses on tariff-linked (or commodity-linked) agreements entered into between a power utility and commodity producers. The main purpose of these types of agreements is to link electricity tariff payable by commodity producers to the price of the commodity produced thereby transferring a certain level of commodity price risk to the power utility. The study looks at risk management practices of a power utility company with a particular reference to tariff-linked agreements. Also, the study critically analyses risk hedging mechanisms put in place by the power utility. The report makes practical recommendations, where applicable, in dealing with these risks. Risk management continuously evolve to meet the challenges of complex financial world. Despite the latest sophisticated risk management tools available commodity producers still encounter difficulties to hedge the price risk. The challenge for the power utility is the application of new risk management tools to effectively manage price risk. / Business Management / M.Com. (Business Economics)

Suite à la crise financière et économique de 2008, il a été constaté sur le portefeuille de négociation des banques un montant de capital réglementaire significativement inférieur aux pertes réelles. Pour comprendre les causes de cette insuffisance de capital réglementaire, il nous a paru important d'évaluer la fiabilité des modèles de mesure de risque de marché et de proposer des méthodologies de stress test pour la gestion des risques extrêmes. L'objectif est de mesurer le capital réglementaire sur un portefeuille de négociation composé d'actions et de matières premières par la mesure de la Value at Risk (VaR) et l'Expected Shortfall. Pour réaliser cet objectif, nous avons utilisé le modèle Generalized Pareto Distribution (GPD) et deux modèles internes utilisés par les banques : méthode de simulation historique et modèle de la loi normale. Une première évaluation de la fiabilité effectuée sur les trois modèles de risque sous l'hypothèse de volatilité constante, montre que les modèles internes des banques et le modèle GPD ne mesurent pas correctement le risque du portefeuille d'étude pendant les périodes de crise. Néanmoins, le modèle GPD est fiable en période de faible volatilité mais avec une forte surestimation du risque réel ; cela peut conduire les banques à bloquer plus de fonds propres réglementaires qu'il est nécessaire. Une seconde évaluation de la fiabilité des modèles de risque a été effectuée sous l'hypothèse du changement de la volatilité et par la prise en compte de l'effet asymétrique des rentabilités financières. Le modèle GPD s'est révélé le plus fiable quelles que soient les conditions des marchés. La prise en compte du changement de la volatilité a amélioré la performance des modèles internes des banques. L'intégration des scénarios historiques et hypothétiques dans les modèles de risque a permis d'évaluer le risque extrême tout en diminuant la subjectivité reprochée aux techniques de stress test. Le stress test réalisé avec les modèles internes des banques ne permet pas une mesure correcte du risque extrême. Le modèle GPD est mieux adapté pour le stress test. Nous avons développé un algorithme de stress test qui permettra aux banques d'évaluer le risque extrême de leurs portefeuilles et d'identifier les facteurs de risque responsables de ce risque. Le calcul du capital réglementaire sur la base de la somme de la VaR et du stress VaR n'est pas logique et entraîne un doublement des fonds propres réglementaires des banques. Le doublement de ces fonds propres aura pour conséquence le resserrement du crédit à l'économie. Nous observons que le coefficient multiplicateur et le principe de la racine carrée du temps de l'accord de Bâle conduisent les banques à faire un arbitrage en faveur des modèles de risque non fiables. / During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real losses. To understand the causes of this low capital requirement, it seemed important to estimate the reliability of the market risk models and to propose stress testing methodologies for the management of extreme risks. The objective is to measure the capital requirement on a trading portfolio, composed of shares and commodities by the measure of the Value at Risk (VaR) and Expected Shortfall. To achieve this goal, we use the Generalized Pareto Distribution (GPD) and two internal models commonly used by banks: historical simulation method and model of the normal law. A first evaluation of the reliability made on the three risk models under the hypothesis of constant volatility, shows that the internal banks' models and the GPD model do not measure correctly the risk of the portfolio during the crisis periods. However, GPD model is reliable in periods of low volatility but with a strong overestimation of the real risk; it can lead banks to block more capital requirement than necessary. A second evaluation of the reliability of the risk models was made under the hypothesis of the change of the volatility and by considering the asymmetric effect of the financial returns. GPD model is the most reliable of all, irrespective of market conditions. The performance of the internal banks' risk models improves when considering the change of the volatility. The integration of the historic and hypothetical scenarios in the risk models, improves the estimation of the extreme risk, while decreasing the subjectivity blamed to the stress testing techniques. The stress testing realized with the internal models of banks does not allow a correct measure of the extreme risk. GPD model is better adapted for the stress testing techniques. We developed an algorithm of stress testing which allow banks to estimate the extreme risk of their portfolios and to identify the risk factors causing this risk. The calculation of the capital requirement based on the sum of the VaR and the stress VaR is not logical and leads to doubling the capital requirement of banks. Consequently, it conducts to a credit crunch in the economy. We observe that the multiplier coefficient and the principle of square root of time of the Basel's agreement lead banks to make arbitration in favor of risk models that are not reliable.

A avaliação de riscos em projetos de produtos inovadores transformou-se em peça chave, na atualidade de competição crescente, para as empresas. Esse fato foi reconhecido na área de pesquisa nas últimas décadas e vários autores desenvolveram modelos para estimar riscos em projetos de produtos inovadores, tanto qualitativos como quantitativos. Porém, não foram encontrados, nas principais bases de dados, estudos que tratam o tema pela integração dos riscos de desenvolvimento e comercialização, mensurados por meio do Value at Risk (VaR). O objetivo geral do trabalho, portanto, é propor um modelo de análise de investimento que integre as etapas de desenvolvimento e comercialização para projetos inovadores, com utilização do VaR como medida de risco. Para a elaboração do modelo foi desenvolvido, primeiramente, um framework, qual relaciona os principais riscos em projetos de inovação e as variáveis que quantificam as tais. Este framework serve como base para a construção do modelo conceitual. Com a utilização das variáveis no modelo é possível estimar e quantificar os processos de desenvolvimento. A aplicação do VaR para a avaliação econômica em projetos de investimento representa uma novidade, mas se baseia na aplicação normal de estimação de riscos desenvolvida para o mercado financeiro. A vantagem do VaR é que resume os riscos considerados no cálculo do projeto em um único número, em unidades monetárias e de fácil compreensão, o que permite a comparação de projetos de investimento mutuamente exclusivos. O modelo integrado proposto possibilita uma avaliação econômica mais tangível que os métodos tradicionais de avaliação, aproximando o resultado à realidade e assim apresentando um avanço na estimação de risco no ambiente de desenvolvimento de produtos inovadores. Este fato foi comprovado na aplicação do método proposto em duas simulações de casos reais, quais resultados foram consistentes e compreensíveis. / Risk assessment in innovative product projects has become a key point for companies in today\'s growing competition. This fact was recognized by research in the area in recent decades and several authors have developed models to estimate risks in innovative product projects, as well as qualitative and quantitative. However, in the main databases could not be found studies dealing with the issue by integrating the risks of the development phase and the commercialization phase, measured by Value at Risk (VaR). The overall objective of this work is, therefore, proposing an investment analysis model that integrates the stages of development and commercialization for innovative projects, using VaR as a risk measure. Firstly, a framework, which relates the main risks in innovation projects and the variables that quantify such, was developed. This framework serves as a basis for the construction of the conceptual model. With the use of the defined variables and the conceptual model it is possible to estimate and quantify the processes of innovation projects. The application of VaR for economic evaluation of investment projects is new, but it is based on the risk estimates application used in the financial market. The advantage of VaR methods is that they summarize the risks considered in the project calculation in a single number expressed in monetary units, which is easy to interpret, allowing the comparison of mutually exclusive investment projects. The proposed integrated model enables a more tangible economic assessment than traditional methods of evaluation, bringing the result closer to reality and thus presenting an advance in risk estimation in innovative product development environment. This was proven in the application of the proposed method in two simulations of real cases, which results were consistent and understandable.

Submitted by Bruno Zaneti (blzaneti@gmail.com) on 2013-07-22T13:27:12Z No. of bitstreams: 1 ZANETI_Dissertacao-MPAgro_vF.pdf: 1353030 bytes, checksum: 129d2405b05986f5310256b86efdbd18 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-07-22T13:41:28Z (GMT) No. of bitstreams: 1 ZANETI_Dissertacao-MPAgro_vF.pdf: 1353030 bytes, checksum: 129d2405b05986f5310256b86efdbd18 (MD5) / Made available in DSpace on 2013-07-22T14:05:04Z (GMT). No. of bitstreams: 1 ZANETI_Dissertacao-MPAgro_vF.pdf: 1353030 bytes, checksum: 129d2405b05986f5310256b86efdbd18 (MD5) Previous issue date: 2013-06-21 / Este trabalho objetiva analisar e contribuir com o gerenciamento de riscos de preços dentro da indústria sucroenergética brasileira, mais especificamente da região Centro-Sul do país, que é a maior processadora de cana-de-açúcar de todo o mundo. Esta indústria tem características peculiares, tanto quanto às formas de comercialização de seus produtos finais – notadamente o açúcar e o etanol – quanto de sua estrutura de custos, onde a cana-de-açúcar representa algo da ordem de 70% do custo total de produção destes produtos. Assim, a proposição aqui implícita passa por uma abordagem específica para o gerenciamento de riscos de preços destas empresas, definindo como principal fator de risco o distanciamento entre os preços das vendas de açúcar travados em mercado organizado de futuros frente aos preços do açúcar apurados dentro da metodologia Consecana e que formam os preços do principal insumo produtivo destas empresas, a cana-de-açúcar. Assim, com uma abordagem empírica é feita uma análise sobre uma amostra de 1.138 ações de fixações de preços ocorridas durante o ano-safra 2012-13, revelando um comportamento de atuação no mercado futuro por parte destas empresas de maximização do valor da firma. Além disso, serão identificados os principais fatores idiossincráticos e sistêmicos que influenciam o retorno que estas empresas obtêm da comercialização de açúcar para o exterior, bem como os fatores que influenciam a tomada de decisão por parte destas empresas. / This work aims to analyze and contribute the prices risk management in the Brazilian sugarcane industry, more specifically the Center-South region of the country, which is the largest processor of sugarcane in the world. This industry has unique characteristics, so as to the ways these firms sell their ended products – notably sugar and ethanol – as its structure of costs, where sugarcane accounts for around 70% of the total cost of production of these products. Thus, the proposition here passes through a specific approach for managing price risks in these firms, defining the major risk they are exposed as the gap between the prices of sugar they sell in futures market and the sugar prices calculated within the Consecana methodology to serve as input for the prices of sugarcane, their main production feedstock. To achieve that it is made an analysis on a sample of 1,138 price fixation actions occurred during the 2012-13 crop, revealing a firm value maximizing behavior. Furthermore, the proposed models will help identify the main idiosyncratic and systemic factors that influence the return these firms obtain from their actions in futures markets as well as the main factors that influence the decision process of hedging within these firms.