A política de hedge para o controle de risco nas instituições não-financeiras utilizando opções de compra / The policy of hedge for the control of risk in the non-financial institutions using call option




The operations structure of defense of positions on risk of an institution - bank and company, in general, called hedge, is one of the most important problems of financial administration in a world where changes happen more frequently. This volatility characteristic leads the manager to elaborate the hedge structure. It happens that if he/she does the hedge of all of the risk positions, invariably, the expense of that defense becomes unbearable, practically consuming the whole profit of the operation. It becomes more critical in non-financial institutions since its main business is not related to the administration of risks, activity typical of financial institutions, but to the production of services or products. That is the reason why hedge politics, instruments and models, that allow indicating forms of risk administration, become of great importance. The present work brings that concern and develops a quantitative model that it will make possible to the company to determine the best call option to be used in its hedge politics and, consequently, to establish the great fraction of its position in risk that should be protected by two conditions: the first one, a budget limitation that the company possesses for the hedge operation; and second one, a pre-set value of the asset object, to a trust level, in the date of expiration of the option. The optimal solution obtained by the model will be a function of the distribution of probability of the assets (return and risk), risk free rate, the horizon of the hedge and the trust level set by the institution. To test the model, the hedge was used with purchase options on available dollar that it is one of the main hedge instruments offered by BM&F. A window of one month was chosen to study the optimal solution pointed for the model.


risco politica hedge policy hedge opcões risk option

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