Banca de QUALIFICAÇÃO: ROBSON GÓES DE CARVALHO

Uma banca de QUALIFICAÇÃO de DOUTORADO foi cadastrada pelo programa.
STUDENT : ROBSON GÓES DE CARVALHO
DATE: 16/12/2019
TIME: 09:00
LOCAL: NEPSA II, Auditório I
TITLE:

INDEX FAMILY FOR BRAZILIAN FIXED INCOME AND PRIVATE CREDIT
MARKETS: A METHODOLOGICAL PROPOSAL FOR CALCULATION

KEY WORDS:

Private credit; debentures; methodology; market index; volatility and liquidity

PAGES: 49
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

The Importance of a well structured dynamic private credit market, particularly the
private security market, is a relevant point for the growth of an economy. In the case of
Brazil, the market improvement and dynamism can be observed through the
implementation of the Price Unique Resistor System (REUNE) together with  the 400 of
2003 and 476 of 2009 Securities and Exchange Commission Instructions (iCVM), as
well as the 14.431/2011 law related to the incentivated debentures. Stocks that provided,
supported by the macroeconomic changes, a incrissing at the primary market emissions
and bigger number and volume of the secondary debenture market negotiation as from
2012. This due to the fact that the debentures becomes a better choice for the acquisition
of funding by the companies. Stimulating consequently the realization of biggest
investments of the surplus agent on the referring assets. Therefore, so the funders can
have a better way to accompany and structure the investments, based on the emission
and negotiation of the debentures information at the market between the years 2013 -
2018, available on AMBIMA Data and on debentures.com, a family of indices
development  methodology will be elaborated divided between a General Index Rating
(IDGr), Index per group of rating (IDr), subdivided in four subgroups, and a B3
Debenture Index  (IDB3). For it the volatility will be analyzed for four model GARCH
of low order, being considered the one that presents the better results in terms of Akaike
Information Criterion (AIC) and Bayesiano Information Criterion (BIC), besides of a
EGARCH model to verify the implantation needs of an asymmetric effect. In the end,
will be implemented a factorial analizy of temporal series, having the bid-ask spread
information as base, trades, securities and turnover, for development of a unique
liquidez factor to the traded debentures at the brazilian secondary market.

BANKING MEMBERS:
Externo à Instituição - ECIO DE FÉRIAS COSTA - UFPE
Interno - 053.812.984-04 - ISRAEL JOSE DOS SANTOS FELIPE - UFRN
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA