Submitted by Elba Lopes (elba.lopes@fecap.br) on 2016-02-04T15:01:00Z No. of bitstreams: 2 Clemil_Robles.pdf: 1063090 bytes, checksum: c8a8fbf9e8a0e811b0f4268c4a413a6d (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2016-02-04T15:01:00Z (GMT). No. of bitstreams: 2 Clemil_Robles.pdf: 1063090 bytes, checksum: c8a8fbf9e8a0e811b0f4268c4a413a6d (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2003-01-15 / The purpose of this work is to research and compare accounting rules emanated from the FASB and from the Brazilian Central Bank applied to Derivatives. The fact that financial institutions run popular savings funds and the fact that they also represent an important link between several economic agents , enhances the importance of the performance and of the stability of the financial system. The activity of the financial institutions involve several risks which can lead to the insolvency and consequently the ruin of the popular savings. The use of transactions with derivatives by financial institutions as hedging of the operations themselves and for speculation, have become more popular over the years. Therefore it is of utmost importance to know risks those financial institutions run when they carry out said transactions and also how those risks are being dealt with, accounted for and evidenced to their clients. In this work we have tried to compare the accounting rules, apart from evidencing that transactions with derivatives have been carried out according to the international standards. The survey concluded that the Brazilian accounting system derived from the Brazilian Central Bank resembles those of IASB and FASB. Therefore it has been evidenced that those entities outside the scope of the Central Bank, do not possess accounting rules which deal adequately with operations with derivatives. / O prop??sito deste trabalho ?? pesquisar e comparar as normas cont??beis emanadas do FASB (Financial Accounting Standards Board), IASB (International Accounting Standards Board) e do Banco Central do Brasil aplicadas a derivativos. O fato de as institui????es financeiras administrarem recursos da poupan??a popular e de representarem importante elo entre os diversos agentes econ??micos faz com que o desempenho e a estabilidade do sistema financeiro assumam particular relev??ncia, pois a atividade das institui????es financeiras envolve diversos riscos, que podem resultar na sua insolv??ncia e, conseq??entemente, na destrui????o de poupan??a popular. A utiliza????o de opera????es com derivativos pelas institui????es financeiras, que s??o realizadas para fins de hedging das pr??prias opera????es e para especula????o, t??m se acentuado nos ??ltimos anos. Portanto, conhecer os riscos a que essas entidades est??o expostas ao fazerem essas opera????es e como tais riscos est??o sendo gerenciados, contabilizados e evidenciados aos usu??rios ?? de suma import??ncia. Procurou-se no presente trabalho, al??m de comparar as normas cont??beis, efetuar a constata????o de que as opera????es com derivativos das institui????es financeiras brasileiras est??o seguindo o tratamento cont??bil, julgado adequado, pelos principais organismos internacionais normatizadores de regras cont??beis. A pesquisa conclui que o arcabou??o cont??bil brasileiro emanado do Banco Central do Brasil, possui grande similaridade com as normas do IASB e FASB. Por??m, constatou-se que as entidades fora do ??mbito de atua????o do Banco Central n??o possuem normas cont??beis que d??em tratamento adequado ??s opera????es com derivativos.

Made available in DSpace on 2015-12-03T18:35:35Z (GMT). No. of bitstreams: 1 Wilson_Motta_Miceli.pdf: 1094265 bytes, checksum: 5165e68d2ea0db5cb92a1fcd0d0a6665 (MD5) Previous issue date: 2007-08-28 / The present scenario of interest rate reduction has been object of discussion in the financial market, specially in asset management offices, that aim yield alternatives and portfolio risk mitigation. The comprehension of the reasons of the reduced use of derivatives by hedge funds required an exploratory analysis in asset management offices. The exploratory research, along with the fund managers was done through a list of questions sent by e-mail to hedge funds directors and managers. The behavior of the agricultural derivatives price at BM&F was also used to calculate the risk and return of a portfolio formed by six agricultural futures contracts. In the period studied, the analysis showed that these instruments can reduce portfolio risk and bring a higher return than the interest rate used in the market. The descriptive analysis and non-parametric techniques done by the Cluster analysis along with the Mann-Whitney test and the Crammer correlation showed that there are some operational and structural obstacles related to derivatives instruments witch can explain the low use of agricultural derivatives in hedge funds. / O cen??rio atual de redu????o da taxa de juros tem sido objeto de discuss??o nos meios financeiros, em especial, na gest??o de recursos, que busca alternativas de rentabilidade e mitiga????o no risco de carteira. Este estudo referiu-se a uma an??lise explorat??ria, junto aos Assets Managements, para investigar as raz??es que determinam o reduzido uso destes instrumentos derivativos pelos fundos de investimentos multimercados. Para tanto procurou-se analisar o comportamento dos pre??os dos derivativos agropecu??rios negociados na BM&F, calculando-se o risco da carteira, formada por seis contratos futuros agropecu??rios, e o seu retorno. Esta an??lise demonstrou, no per??odo avaliado, que estes instrumentos podem reduzir o risco da carteira e promoveram um retorno pouco acima da taxa de juros de mercado. A pesquisa explorat??ria, junto aos gestores dos fundos de investimentos foi realizada atrav??s de question??rios enviados por e-mail aos diretores e gestores dos fundos multimercados. A an??lise descritiva conjugada com t??cnicas n??o-param??tricas, atrav??s da an??lise de cluster acoplada com os testes de Mann-Whitney e a correla????o de Cram??r demonstraram que existem alguns obst??culos de car??ter operacional e estrutural, referentes aos instrumentos derivativos, que explicam o baixo uso dos derivativos agropecu??rios nas carteiras dos fundos multimercados.