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Doctoral Thesis
DOI
10.11606/T.12.2007.tde-23082007-120904
Document
Author
Full name
Ricardo Humberto Rocha da Silva
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Securato, Jose Roberto (President)
Almeida, Ricardo Jose de
Freitas, Antonio Airton Carneiro de
Oliveira, Edson Ferreira de
Sousa, Almir Ferreira de
Title in Portuguese
A política de hedge e o tratamento do risco nas empresas não-financeiras
Keywords in Portuguese
Derivativos
Finanças das empresas
Opções
Abstract in Portuguese
O gerenciamento dos riscos e seus impactos na lucratividade das empresas não-financeiras têm sido objeto constante de estudos nos últimos anos. As crises globais ocorridas nos últimos dez anos, conjugadas com a liberalização dos fluxos de capitais, ampliação da base tecnológica e acirramento das disputas comerciais têm obrigado as empresas a conhecerem detalhadamente os fatores de risco associados aos processos de produção, comercialização e divulgação de seus produtos, bem como a influência desses fatores de risco no retorno do investimento e na lucratividade das operações. Elaborar um modelo que permita captar os possíveis efeitos do risco sobre a lucratividade das empresas e, dessa forma, quantificar monetariamente a implementação de estratégias de mitigação e o custo das políticas de hedge, passa a ser um fator de diferenciação, competitividade e sobrevivência. Desde 1994, ocorre grande desenvolvimento de metodologias e modelos que permitem a medição do risco como o modelo value at risk desenvolvido pelo Banco J.P.Morgan, cuja eficiência está relacionada à gestão de riscos em instituições financeiras. Para instituições não-financeiras, outras abordagens são discutidas, testadas e aprimoradas. Para as empresas não-financeiras este trabalho propõe uma modelagem via árvore binomial aditiva que permite a projeção do lucro operacional, a quantificação dos efeitos do risco sobre esse lucro e o custo financeiro das operações de hedge. O modelo desenvolvido será aplicado a um conjunto de empresas escolhidas por representarem setores importantes para a economia brasileira.
Title in English
The Hedge policy and the treatment of risk in the non-financial companies
Keywords in English
Derivatives
Finances of the companies
Options
Abstract in English
The management of risk and of its impact over corporate profitability have been widely studied and researched over the recent past. The global crises which occurred during the last ten years coupled with the liberalization of capital flow, the spread of the information technology infra-structure and the increase in commercial disputes have demanded more from companies and have obliged them to better understand the risks associated with their activities and production and sales processes, and also the impact of such risk factors over their investment return and operational profitability. The possibility of developing a successful model which can capture the eventual risk influence over corporate profitability and also quantify the impact of the hedge strategies and their respective costs might turn into a differentiation factor, if not into a survival and competitive advantage factors. Since 1994, new methodologies and models have been developed aimed at measuring risk, such as the value at risk model, developed by the J.P.Morgan Bank, whose efficiency is related to the risk management of financial institutions. For non-financial institutions, other approaches have been discussed, tested and improved over time. Following this reasoning, the goal of this research is to propose a model of binomial additive three which allows for the projection of operational profit, for the quantification of risk effects over such profit and for the determination of the financial cost of the hedge instruments to be used. In addition to present the model of binomial additive three, this paper will apply such model to a sample of companies, considered relevant in the Brazilian economy and in their respective sectors.
 
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Publishing Date
2007-08-29
 
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