Thesis (Ph. D.)--University of Chicago, Dept. of Economics, March 2003. / Includes bibliographical references. Also available on the Internet.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, December 2000. / Includes bibliographical references. Also available on the Internet.

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2005. / Includes bibliographical references (leaves 280-289).

Thesis (M. Soc. Sc.)--University of Hong Kong, 1986.

Thesis (M.Com. (Economic & Economic History)) - Rhodes University, 2007. / Thesis in partial fulfilment of the requirements for the degree Master of Commerce, Financial Markets in Department of Economics and Economic History.

Thesis (M.Soc.Sc.)--University of Hong Kong, 1986. / Also available in print.

Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 216-220). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 216-220). Also available on the Internet.

Thesis (Ph. D.)--Stanford University, 2001. / Includes bibliographical references (leaves 100-104).

Made available in DSpace on 2016-06-02T19:33:10Z (GMT). No. of bitstreams: 1 KOHATSU_Marcelo_2014.pdf: 1960321 bytes, checksum: 4df6644bf620975846c79410ec0eb702 (MD5) Previous issue date: 2014-06-06 / The purpose of this dissertation is investigating changes on the immunized portfolios by the analytic method of principal components analysis from an inversion movement of the term structure of interest rates. In 2012, the one year yield curve had short term's interest rate higher than long term's interest rate, featuring a decrescent profile behavior. In December 2012, the structure shape changed and became firstly flat to become, later, a positively sloped curve. The method of immunization with analysis of principal component uses a structure by retroactive term for the calculation of the facts towards the greatest variance. In this dissertation we verify that the use of a decrescent historic of the structure on term for the calculation of the components did not present inconsistencies in the immunization of the portfolio in the period that the structure on term was becoming itself crescent. / O objetivo deste estudo é investigar alterações nas carteiras imunizadas pelo método análise de componente principal a partir de um movimento de inversão da estrutura a termo de taxa de juros. Ao longo do ano de 2012, a estrutura a termo de até um ano apresentava taxas de curto prazo maiores do que as de longo prazo, caracterizando um comportamento com perfil decrescente, de modo que, no mês de dezembro de 2012, essa estrutura se modificou, tornando primeiramente flat e depois uma curva com comportamento crescente. O método de imunização com análise de componente principal se utiliza de uma estrutura a termo retroativa para o cálculo dos fatores na direção de maior variância. Neste estudo verificamos que o uso de um histórico decrescente da estrutura a termo para o cálculo dos componentes não apresentou inconsistências na imunização da carteira no período em que a estrutura a termo tornava-se crescente.