A estrutura de regulação dos mercados futuros no Brasil e o uso de modelos estatísticos de precificação, na atividade de supervisão dos órgãos reguladores

Kasznar, Istvan Karoly
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The purpose of this study is to identify the directives on the supervision of futures markets in Brazil, in comparison with the practices of regulation in other countries, basically those which economies and markets are greater than the Brazilian market, in terms of traded contracts. The subject was developed in a way to encourage the usage of such practices by the local authorities, aiming at the improvement of regulators’ activities and the growth of brazilian capital market. Among the referred practices, the use of statistical models to evaluate the price of traded contracts was emphasized as a means to guide the enforcement actions on the surveillance of artificial conditions of trade. The approach to these models comprised from the definition of fundamental concepts to a case-study related with stock options, as well as the characterization of the main important models and methods of calculating the volatility of contracts price. The results of this research were related to the origins of the legal system and recent economic development in Brazil, which led to the sophistication of financing mechanisms, not being restricted to just pointing to the weak points of the local surveillance. Finally, this research points to the practical needs to be fulfilled by the Brazilian Securities and Exchange Commission, according to the operational characteristics of the main important markets, in order to allow the Brazilian futures exchange to reinforce its competitive position in the world scenario.

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