A duration e um modelo alternativo: um teste empírico

Abstract

Hedging strategies for bond portfolios are usually based on the concept of duration. This concept considers that shifts in the yield curve are the same for all the term structure of interest rates, which means that shifts in the yield curve are parallel. This article intends to test this assumption using the BM&F’s interest rate future market in 1996. It also compares hedging strategies based on duration to hedging strategies based on an alternative model, which considers the effects of non-parallel shifts in the yield curve.