This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach.  Part I is organized as follows. Chapter 1 is divided in two main sections. The first section presents some of the fundamental concepts which are a pre-requisite to the papers that follow. All of the concepts and results are well known and hence the section can be regarded as an introduction to notation and the basic principles of arbitrage theory. The second part of the chapter is of a more technical nature and its purpose is to summarize some key results on point processes or differential geometry that will be used later in the thesis. For finite dimensional factor models, Chapter 2 studies GQTS. These term structures include, as special cases, the affine term structures and Gaussian quadratic term structures previously studied in the literature. We show, however, that there are other, non-Gaussian, quadratic term structures and derive sufficient conditions for the existence of these GQTS for zero-coupon bond prices. On Part II we focus on credit risk models.   In Chapter 3 we propose a reduced form model for default that allows us to derive closed-form solutions for all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and survival probabilities. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity of default is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable digital puts, CDSs and options on defaultable bonds. Further on, we study a model for portfolio credit risk that considers both firm-specific and systematic risk. The model generalizes the attempt of Duffie and Garleanu (2001). We find that the model produces realistic default correlation and clustering effects. Next, we show how to price CDOs, options on CDOs and how to incorporate the link to currently proposed credit indices. In Chapter 4 we start by presenting a reduced-form multiple default type of model and derive abstract results on the influence of a state variable $X$ on credit spreads when both the intensity and the loss quota distribution are driven by $X$. The aim is to apply the results to a real life situation, namely, to the influence of macroeconomic risks on the term structure of credit spreads. There is increasing support in the empirical literature for the proposition that both the probability of default (PD) and the loss given default (LGD) are correlated and driven by macroeconomic variables. Paradoxically, there has been very little effort, from the theoretical literature, to develop credit risk models that would take this into account. One explanation might be the additional complexity this leads to, even for the ``treatable'' default intensity models. The goal of this paper is to develop the theoretical framework necessary to deal with this situation and, through numerical simulation, understand the impact of macroeconomic factors on the term structure of credit spreads. In the proposed setup, periods of economic depression are both periods of higher default intensity and lower recovery, producing a business cycle effect. Furthermore, we allow for the possibility of an index volatility that depends negatively on the index level and show that, when we include this realistic feature, the impacts on the credit spread term structure are emphasized. Part III studies forward price term structure models. Forward prices differ from futures prices in stochastic interest rate settings and become an interesting object of study in their own right. Forward prices with different maturities are martingales under different forward measures. This mathematical property implies that the term structure of forward prices is always linked to the term structure of bond prices, and this dependence makes forward price term structure models relatively harder to handle. For finite dimensional factor models, Chapter 5 applies the concept of GQTS to the term structure of forward prices. We show how the forward price term structure equation depends on the term structure of bond prices. We then exploit this connection and show that even in quadratic short rate settings we can have affine term structures for forward prices. Finally, we show how the study of futures prices is naturally embedded in the study of forward prices, that the difference between the two term structures may be deterministic in some (non-trivial) stochastic interest rate settings. In Chapter 6 we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, $\Q$, is described by using two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest rates, driven by a multidimensional Wiener process $W$. The second system is an infinite SDE for the term structure of forward prices on some specified underlying asset driven by the same $W$. Since the zero coupon bond volatilities will enter into the drift part of the SDE for these forward prices, the interest rate system is needed as input to the forward price system. Given this setup, we use the Lie algebra methodology of Bj\o rk et al. to investigate under what conditions, on the volatility structure of the forward prices and/or interest rates, the inherently (doubly) infinite dimensional SDE for forward prices can be realized by a finite dimensional Markovian state space model. / Diss. Stockholm : Handelshögskolan, 2006

Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. I bring the model to the term structure of interest rates and show that a calibrated version of the model can simultaneously explain properties of bonds and equities. Specifically, the model accounts for deviations from the expectations hypothesis, the upward sloping nominal yield curve, and the predictive power of the nominal yield spread. However, an estimation of the model using Simulated Method of Moments yields less convincing results and illustrates the difficulty of precisely estimating parameters of the model. Real (nominal) interest rates in the model are positively (negatively) correlated with consumption growth and real stock returns move inversely with inflation. The cyclicality of nominal interest rates and yield spreads is shown to depend on the relative values of the elasticity of intertemporal substitution and the correlation between real consumption growth and inflation. The “Fed-model” and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach. This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in the US, inflation has signaled low future consumption growth. The representative agent therefore dislikes positive inflation shocks and demands a positive risk premium for holding assets that are poor inflation hedges, such as equity and nominal bonds. As a result, risk premiums on equity and nominal bonds comove positively through their exposure to macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove strongly. The subsequent moderation in aggregate economic risk has brought correlations lower. The model is able to produce correlations that can switch sign by including the covariances between consumption growth, inflation, and dividend growth as state variables. International Bond Risk Premia. We extend Cochrane and Piazzesi (2005, CP) to international bond markets by constructing forecasting factors for bond excess returns across different countries. While the international evidence for predictability is weak using Fama and Bliss (1987) regressions, we document that local CP factors have significant predictive power. We also construct a global CP factor and provide evidence that it predicts bond returns with high R2 across countries. The local and global factors are jointly significant when included as regressors, which suggests that variation in bond excess returns are driven by country-specific factors and a common global factor. Shocks to US bond risk premia seem to be particularly important determinants for international bond premia. Motivated by these results, we estimate a parsimonious no-arbitrage affine term structure model in which risk premia are driven by one local and one global CP factor. We find that international bond risk premia are driven by a local slope factor and a world interest rate level factor.

Cette thèse développe différents modèles à changements de régimes de la structure par terme des taux d'intérêt. Un cadre général de modélisation des taux associés à différents émetteurs y est présenté (chapitre 2). Ce cadre est exploité afin d’analyser les taux d’État de dix pays de la zone euro entre 1999 et 2012 (chapitre 3). Un régime de crise permet d’expliquer l’accroissement de la volatilité des taux pendant la crise financière. Cette étude montre en outre que la liquidité des titres est déterminante pour leur valorisation. Le cadre de modélisation est complété afin d’étudier le lien de causalité entre deux types de tensions: celles liées à des motifs de liquidité et celles liées à des motifs de crédit (chapitre 4). Enfin, l'influence de la politique monétaire sur la courbe des taux est examinée grâce à un modèle dans lequel une utilisation innovante des changements de régime permet de produire des trajectoires réalistes des taux directeurs de la banque centrale (chapitre 5). / This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5).

Submitted by Raimundo Câmara Filho (raimundo.camara@enel.com) on 2015-11-02T20:57:35Z No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-04-19T19:06:48Z (GMT) No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-05-05T17:02:42Z (GMT) No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) / Made available in DSpace on 2017-05-05T17:03:45Z (GMT). No. of bitstreams: 1 Dissertação Versão aprovada, com ficha catalográfica e assinaturas da banca.pdf: 1997770 bytes, checksum: aa296c2e80c524f65734265773e7072e (MD5) Previous issue date: 2007-05-31 / Monetary policy actions are believed to be transmitted to the economy through their effects on market interest rates. However, it is observed that the relationship between monetary policy and market interest rates seems quite complex. Although casual observation suggests a close connection between monetary policy actions and short-term interest rates, the relationship between policy actions and long-term interest rates is not so evident. This study estimates the response of the Brazilian term structure of interest rates, from the implementation of the Inflation Targeting Regime until March 2007. Using a model that captures the tendency of market rates to anticipate policy actions, this study finds evidence of a stronger response of long-term rates to innovations in the Selic rate than found in previous research. / A política monetária é transmitida à economia através de seus efeitos sobre o mercado de taxas de juros. Na prática, entretanto, observa-se que o relacionamento entre a taxa de juros básica e as demais taxas de juros de mercado aparenta ser bastante complexo. Ainda que exista farta evidência de que a política monetária produza efeitos previsíveis sobre as taxas de juros de curto prazo, a relação entre as ações de política monetária e as taxas de juros de prazos mais longos não é tão evidente. Nesse estudo, estima-se a resposta da estrutura a termo de taxas de juros brasileira às medidas de política monetária anunciadas, desde a implantação do regime de metas de inflação até março de 2007. Utilizando um modelo simples, mas que captura a tendência do mercado de antecipar as futuras ações de política monetária, encontramos uma resposta muito maior do que as reportadas em estudos anteriores.

Made available in DSpace on 2010-04-20T21:00:22Z (GMT). No. of bitstreams: 3 edisonticleturma2004.pdf.jpg: 20685 bytes, checksum: 2ea3ebaed6c880fca68934df446a7fdd (MD5) edisonticleturma2004.pdf: 942851 bytes, checksum: 5fa263fdfda2bb9492d9f718d0584ab5 (MD5) edisonticleturma2004.pdf.txt: 96707 bytes, checksum: dafa3b505418af9cfad33011c1b4191f (MD5) Previous issue date: 2007-02-13T00:00:00Z / This paper’s main objective is to provide empirical evidence that the term structure spread contains valuable information about both future inflation and economic activity paths, using Brazil’s data since 1999 to 2006. Estimation using industrial production figures (IBGE) has shown weak results, yield curve spread coefficients were significant at 5% level of confidence (for 3 to 18 months ahead of projection). Even when controlled for other explicative variables, the yield curve spread has kept its predictive power. Estimation using real GDP figures (IBGE) provided very weak results and not significant coefficients. On the other hand, empirical evidence indicated that the term structure slope does have a great deal of predictive power for future changes in inflation (IPCA), irrespective of the slope measure chosen. Again, even when controlled for other explicative variables, the yield curve spread has shown additional information about future inflation path. The evidence in this paper suggests that central banks might pay attention to the information contained in the term structure, acknowledging it as another important input for their process of monetary policy decision. / O objetivo deste trabalho é examinar a hipótese de que a estrutura a termo das taxas de juros é um bom indicador antecedente das trajetórias futuras da inflação e da atividade econômica, especificamente para o caso brasileiro, no período de 1999 a 2006. As evidências empíricas, examinadas através de regressões da inclinação da curva de juros realizadas contra a variação futura da produção industrial (IBGE) apresentaram resultados pouco robustos, porém coeficientes significativos a 5% (para prazos de projeção de 3 a 18 meses). Quando controlada para outras variáveis explicativas, manteve seu poder de previsão, sugerindo que há conteúdo informacional relevante na inclinação da curva de juros para previsão da produção industrial futura. As regressões realizadas contra a variação futura do PIB a preços constantes (IBGE) apresentaram resultados bastante fracos e coeficientes pouco significativos. Por outro lado, os resultados empíricos das regressões do spread da curva de juros contra a variação futura da inflação (IPCA) mostraram-se robustos, para todas as especificações de diferencial de curva de juros. Novamente, quando controlada para outras variáveis explicativas, manteve seu poder de previsão. As conclusões deste trabalho permitem sugerir aos bancos centrais estar atentos à informação contida na estrutura a termo de juros, utilizando-a como mais um input de informação nos modelos utilizados pela autoridade monetária para suas decisões de política monetária.

Made available in DSpace on 2010-04-20T21:00:51Z (GMT). No. of bitstreams: 4 Raphael de Almeida Barbosa.pdf.jpg: 18678 bytes, checksum: 3d97fd1271387fa45c85fcf8e0b0e507 (MD5) Raphael de Almeida Barbosa.pdf.txt: 85416 bytes, checksum: 87a738f66ff35e1760a9e51fb4541565 (MD5) Raphael de Almeida Barbosa.pdf: 1279245 bytes, checksum: 4263620211cb195468fd7e9f161e529a (MD5) license.txt: 4886 bytes, checksum: 6ee12df0b7e411cd5b2262145fb2262f (MD5) Previous issue date: 2009-02-05T00:00:00Z / O objetivo do trabalho é estudar a relação entre 'surpresas' na política monetária, reveladas pelas mudanças não-esperadas na taxa de juros de curto prazo (Selic) e a estrutura a termo da curva de juros para o caso brasileiro. Será testado o efeito de movimentos não-esperados da política monetária sobre a estrutura a termo de juros, utilizando como medida de surpresa da política monetária o erro de previsão do mercado para a taxa de juros estabelecida pela autoridade monetária. O trabalho está estruturado em 4 capítulos, além desta introdução. A introdução consiste no detalhamento da importância do problema e como o trabalho está organizado. O capítulo 1 compreende a revisão da literatura em duas partes: a parte 1 realiza uma síntese de alguns trabalhos sobre o tema e a parte subseqüente apresenta alguns resultados empíricos já conhecidos. No capítulo 2 será estudado o caso brasileiro, e definida a metodologia e hipóteses analisadas. O terceiro capítulo consiste nas estimações e resultados. Por último, o capítulo 4 disserta a respeito das conclusões obtidas, limitações do trabalho e questões para futuras pesquisas. / The purpose of this dissertation is to study the relatioship between the short-term interest rate (Selic) and the term structure through changes in monetary policy for the Brazilian case. It will test the effect of non-expected monetary policy movements (the "surprises") on the term structure, using as a surprise of monetary policy the market errors in predictions for interest rate set by monetary authority. This monograph is divided into 4 sections, besides an introduction. The introduction details the importance of the problem and how the monograph will be organized. Chapter 1 covers the literature review into two parts: part one deal with main theoretical hypothesis to explain the term structure of interest rate and part two reviews the main empirical results to test that hypothesis. Chapter 2 will discuss the methodology and assumptions used to analyze the Brazilian case. The third chapter consists of estimates and results. Finally, chapter 4 concludes indicating the main findings, as well as the limitations of the presente dissertation, and issues for future research.

Submitted by Winston Chun (winston.chun@gmail.com) on 2011-09-08T04:15:02Z No. of bitstreams: 1 Dissertacao VFINAL.pdf: 252650 bytes, checksum: 8b08b5f955a557fe1c18b78a33d10bda (MD5) / Rejected by Gisele Isaura Hannickel (gisele.hannickel@fgv.br), reason: Prezado Winston, O trabalho postado está com as folhas invertidas, deve seguir a seguinte sequencia: 1 - capa 2 - contra-capa 3 - ficha catalográfica 4 - folha de assinaturas. Em caso de dúvidas, favor acessar o caminho: http://bibliotecadigital.fgv.br/site/bkab/normalizacao Att, Gisele Hannickel Secretaria de Registro on 2011-09-08T12:44:39Z (GMT) / Submitted by Winston Chun (winston.chun@gmail.com) on 2011-09-08T13:30:24Z No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T13:43:33Z (GMT) No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-08T13:43:46Z (GMT) No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) / Made available in DSpace on 2011-09-08T13:44:03Z (GMT). No. of bitstreams: 1 Dissertacao VFINAL.pdf: 209740 bytes, checksum: 9b370c58031ba9a9ecb5718b05d9ee82 (MD5) Previous issue date: 2011-08-08 / Esta dissertação tem com objetivo avaliar uma das implicações da hipótese de expectativas para a estrutura a termo de taxa de juros brasileira. Utilizando testes lineares tradicionais e através da reprodução de testes não lineares TAR de Enders e Granger (1998) e ESTAR Kapetanios e Shin (2003) conclui-se que a hipótese de expectativas não é totalmente válida para a ETTJ do Brasil, além disso, são encontradas evidências de não linearidade nas séries de spreads que demandam mais pesquisa sobre o assunto. / This dissertation has the aim to evaluate one of the implications of expectation hypothesis in Brazilian term structure of interests. Using traditional linear tests and through the reproduction of nonlinear Threshold Autoregressive (TAR) tests of Enders and Granger (1998) and Exponential Smooth Transition Autoregressive (ESTAR) of Kapetanios and Shin (2003) the conclusion is that expectation hypothesis is not totally valid for Brazil, besides that, some evidences of non-linearity in spreads series were found then more research is needed on the subject.

Made available in DSpace on 2016-06-02T20:06:07Z (GMT). No. of bitstreams: 1 5090.pdf: 2622386 bytes, checksum: efb13371116d8185c23b86079eb4237c (MD5) Previous issue date: 2013-03-21 / Financiadora de Estudos e Projetos / The present paper studies the yield curve, an important tool for financial decisions, due to its fundamental role in the implementation and evaluation of monetary policies by the central banks. It also shows market perspectives in relation to the future development of interest rates, inflation and economical activities. Using an adequate model and a reasoned assessment of its parameters enables us to adjust the curve as far as possible to the real curve and hence obtain most precise and trustful results. These results were acquired by studying a model which was developed in 1987 by Nelson and Siegel and used to draw up the yield curve. Considering the model s limitations, diferent methods were used to attain the estimated parameters, such as Ordinary Least Squares, Maximum Likelihood and Bayesian Inference in the static version. The Nelson-Siegel model is widely used in Brazil and in the rest of the world, due to its economical idea, easy implementation and eficient adjustment into diferent formats that the yield curve is able to deal with. By considering the restrictions of the model, we found estimations for the parameters of the model safer than other and besides, the main point of this work is an estimation form of parameters of time together with others parameters of the model without considering one fixed value for it. / O objeto de estudo deste trabalho é a curva de taxas de juros, uma importante ferramenta utilizada em decisões financeiras, pois desempenha um papel fundamental na implementação e avaliação de políticas monetárias pelos bancos centrais. Assim sendo, indica as expectativas do mercado quanto ao comportamento futuro das taxas de juros, inflação e atividade econômica. A utilização de um bom modelo e uma boa estimação dos parâmetros do mesmo nos permite representar a curva ajustada o mais próximo da curva real, dessa forma, conseguimos encontrar resultados mais precisos e confiáveis. Neste trabalho estudamos o modelo utilizado para construção das curvas de taxas de juros desenvolvido em 1987 por Nelson e Siegel (1987) e métodos, considerando as restrições do modelo, para obtermos as estimativas dos parâmetros (Mínimos Quadrados Ordinários, Máxima Verossimilhança e Inferência Bayesiana) na vers~ao estática. O modelo de Nelson e Siegel apresenta grande aplicação tanto no Brasil quanto no restante do mundo, pois ele apresenta como características seu caráter parcimonioso nos parâmetros, sua fácil implementação e ajuste eficiente nos diversos formatos que a curva de taxas de juros pode assumir. Por considerarmos as restrições do modelo, encontramos estimativas para os parâmetros do modelo mais seguras e além disso, como principal contribuição deste trabalho, temos uma forma de estimação do parâmetro de tempo conjuntamente com os demais parâmetros do modelo, sem considerar apenas um valor fixo para ele.

Submitted by Maurício Tadeu Reis (mauricio_41@live.com) on 2018-09-04T14:10:20Z No. of bitstreams: 1 Dissertacao-04-09-2018.pdf: 942449 bytes, checksum: 506f00632a87d40c0d92c1996f1cf67f (MD5) / Rejected by Joana Martorini (joana.martorini@fgv.br), reason: ,, on 2018-09-04T15:07:20Z (GMT) / Submitted by Maurício Tadeu Reis (mauricio_41@live.com) on 2018-09-04T15:16:08Z No. of bitstreams: 1 Dissertacao-04-09-2018.pdf: 942449 bytes, checksum: 506f00632a87d40c0d92c1996f1cf67f (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2018-09-04T15:16:43Z (GMT) No. of bitstreams: 1 Dissertacao-04-09-2018.pdf: 942449 bytes, checksum: 506f00632a87d40c0d92c1996f1cf67f (MD5) / Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-09-04T15:22:27Z (GMT) No. of bitstreams: 1 Dissertacao-04-09-2018.pdf: 942449 bytes, checksum: 506f00632a87d40c0d92c1996f1cf67f (MD5) / Made available in DSpace on 2018-09-04T15:22:27Z (GMT). No. of bitstreams: 1 Dissertacao-04-09-2018.pdf: 942449 bytes, checksum: 506f00632a87d40c0d92c1996f1cf67f (MD5) Previous issue date: 2018-08-09 / Neste trabalho serão estimadas diversas regressões para o prêmio de risco de inflação encontrado na economia brasileira, com dados entre janeiro 2006 e dezembro 2017. Adicionalmente, a inflação implícita terá uma seção de resultados semelhante ao encontrado para o prêmio de risco de inflação. Foram encontradas na literatura, tanto local quanto na estrangeira, poucas referências que tinham como tema central o prêmio de risco de inflação, a literatura encontrada é mais vasta ao buscarmos por inflação implícita ou taxa natural de juros. Os modelos construídos para mercados estrangeiros visam eliminar o problema da defasagem nos indexados de inflação dos títulos reais, como tanto no trabalho de Evans quanto de Grishchenko e Huang onde, para os mercados britânico e americano, respectivamente, aplicam um modelo que visava reduzir o ruído gerado pela defasagem no indexador de inflação. Para o mercado local, temos uma literatura mais focada em inflação implícita, no qual podemos notar em Vicente e Graminho que realizam a decomposição de todos os componentes da inflação implícita, inclusive o prêmio de risco de inflação. Foi possível tirar algumas conclusões sobre quais variáveis podem afetar o prêmio de risco de inflação e de qual forma, destas, destacou-se o CDS e as expectativas de inflação para períodos condizentes com os analisados para juros reais e nominais. / In this work many regressions towards the inflation risk premium for the Brazilian economy will be estimated, with data from January 2006 to December 2017. In addition to that, there will be a topic where we can find similar results for the implicit inflation as the ones obtained for the inflation risk premium. In the bibliography we found a few references for both local and foreign studies about the main topic, the inflation risk premium, the bibliography is more common to implicit inflation and natural interest rates. The models constructed for the foreign markets focused on minimizing the inflation lag problem on the indexed real bonds, both Evans's work and Grishchenko and Huang tried to minimize this problem with their models, for the British and American economies, respectively, their models tried to build an alternative real termstructure without this inflation lag. For the local market we found a bibliography more focused on implicit inflation, such as in Vicente and Graminho who studied the implicit inflation and all of its components, including the inflation risk premium. It was possible to take a few conclusions about some economic variables and its relation to inflation risk premium, if it exists. From these variables, we highlight the CDS and inflation expectations in consistent periods with those used for real and nominal interest rates.

Submitted by Leonardo Tavares Pereira (leonardotp@fgvmail.br) on 2013-01-15T01:27:39Z No. of bitstreams: 2 EPGE Ficha catalográfica.pdf: 19597 bytes, checksum: 5c69f1150ca0cea1bdd8ef7f9f3626d7 (MD5) Tese final Leonardo T Pereira.pdf: 411902 bytes, checksum: f294706b82f398a75075c8bccb30514f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-09-10T13:27:35Z (GMT) No. of bitstreams: 2 EPGE Ficha catalográfica.pdf: 19597 bytes, checksum: 5c69f1150ca0cea1bdd8ef7f9f3626d7 (MD5) Tese final Leonardo T Pereira.pdf: 411902 bytes, checksum: f294706b82f398a75075c8bccb30514f (MD5) / Made available in DSpace on 2013-09-10T13:38:09Z (GMT). No. of bitstreams: 2 EPGE Ficha catalográfica.pdf: 19597 bytes, checksum: 5c69f1150ca0cea1bdd8ef7f9f3626d7 (MD5) Tese final Leonardo T Pereira.pdf: 411902 bytes, checksum: f294706b82f398a75075c8bccb30514f (MD5) Previous issue date: 2010-07-17 / n this work we develop a strategy to price emb edded options. This kind of options exists in a large numb er of deb entures in the Brazilian market. As this market presents a reduced numb er of assets, pricing the emb edded options is necessary so as to increase the numb er of assets available to analysis. As an intermediary step, we need to know when is interesting to the issuer to call the deb enture b efore the expiration date. With this intuit, we prop ose a metho dology to estimate the term structure of the deb entures market based on the mo del of Nelson-Siegel. As an exercise, we apply the prop osed strategy to estimate the emb edded option on the deb enture TSPP22. We observed that the value of this option presented an ascendant b ehavior during the analyzed p erio d. As matter of fact, this deb enture was called by the issuer on February of 2011. / Nesse trabalho desenvolvemos uma estratégia para o apreçamento de opções de recompra Embutidas . Esse tipo específico de opção está presente em um grande número de debêntures no mercado brasileiro. Em função deste mercado apresentar um número reduzido de ativos, o apreçamento destas opções se faz necessário para que tenhamos condições de ampliar a massa de ativos disponíveis para a análise. Como passo intermediário, é preciso determinar quando é interessante para o emissor efetuar o resgate antecipado da debênture. Para este m, propomos uma metodologia para a estimação da estrutura a termo da taxa de juros do mercado de debêntures com base no modelo de Nelson-Siegel.