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Economia Aplicada

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FRANKLIN JR., Sergio L.; DUARTE, Thiago B.; NEVES, César R.  and  MELO, Eduardo F. L.. A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes. Econ. Apl. [online]. 2012, vol.16, n.2, pp.255-290. ISSN 1413-8050.

In this paper, we propose a methodology for the construction of the risk-free interest rate term structure in Brazil, using the Svensson model for interpolation and extrapolation of the interest rate curves, and genetic algorithms, in complement to traditional algorithms of nonlinear optimization, for estimation of model parameters. The objective is to contribute to the Brazilian insurance market, so that insurance ces can appropriately measure their long-term obligations discounting cash flows in a manner that is consistent and coherent, considering the adoption of international standards of solvency supervision and financial reporting by the Superintendência de Seguros Privados (SUSEP). We present the results found in modeling the term structure of a number of interest rate curves in Brazil.

Keywords : Term structure; Interest rates; Interpolation; Extrapolation; Genetic algorithm; Nelson and Siegel; Svensson.

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