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The fixed income market in Brazil - Concepts, pricing and risk

The fixed income market in Brazil - Concepts, pricing and risk


Since the implementation of the Real Plan, the national fixed income market has undergone successive changes, influenced by internal and external economic crises. Few are the works that address the universe of fixed income and linear fixed income derivatives in Brazil, dealing with topics such as pricing, risk calculation, performance and hedging.

In order to fill this gap, the work The Fixed Income in Brazil - Concepts, pricing and risk consolidates, in an organized way and at an increasing level of complexity, several themes related to this topic, mixing theory and practice.

The reader will learn to price the main fixed-income instruments used in Brazil, such as Brazilian Treasury bonds, certificate of deposits, debentures (local corporate bonds) and interest rate derivatives. In addition to pricing techniques, this book deals, in depth, with themes such as:

Yield curve
Credit spread
Return calculation
Brazilian local debt securities
Brazilian global debt securities
Brazilian local linear derivatives as futures and swaps
Libor versus Fixed rate swaps
Hedge and immunization
Risk measurement

This book is mostly aimed at professionals working in both the financial market and academia, who want to deepen their knowledge on fixed income markets in Brazil.