This paper analyzes, from the perspective of the desirable properties of interest rate curves, the adequacy of the Term Structures of Interest Rates established by Susep for the purpose of actuarial liabilities evaluation and measurement of the additional capital requirement based on market risk. In order to analyze the fit of the curves in relation to the observed data, estimation errors, their descriptive statistics and the mean of the mean squared errors were calculated. To analyze estimated rates volatility, maturities of interest were defined and the standard deviation was calculated for each one over the period of analysis. The results indicate that, in general, the established curves present satisfactory fit to the points observed in the market. However, there is evidence that the long-term rates estimated by Susep’s curves present higher volatility than those for observed long-term rates, which shall be a relevant issue for practical matters. Lastly, Susep’s prefixed and IPCA coupon curves were compared to Anbima’s and the latter seem to be more effective, which justifies Susep’s decision on abort generating some of its curves.
Keywords:
Interest rate term structure; Susep curves; Anbima curves; Svensson model; Nelson & Siegel model.
Thumbnail
Thumbnail
