Dissertation
Gestão de risco sob a perspectiva de um trader ao obter dados de originação de soja no Brasil com baixa latência
Fecha
2021-03-18Autor
Moraes, Tiago Gomes Pessoa de
Institución
Resumen
Uncertainties in the agribusiness world make all the actors involved in the chain want to have a level of protection against possible external factors. Producers, commodity trading companies and consumers use the futures market as a Risk Management Policy, which ensures the return value when the product is delivered. The present study aims to help companies understand the importance of having information close to real time for more effective risk management by answering the following questions: What is the impact of low latency (that is, close to real time) on Risk Management when obtaining data on origination of Soybeans to hedge the commodity in Brazil from the perspective of a Commodity Tradings company? What are your challenges in obtaining the data? For this, an analysis was made of data on the soybeans volume of purchase contracts, versus the future sales contracts of a company in the sector, before and after the implementation of a project that aimed to consolidate such information in real time, in order to comparing them using Pearson’s, Spearman's and Kendall’s correlation calculations and the results obtained makes it clear that there has been a significant improvement from one year to the next, but even with the improvement in the correlation, it does not mean that it is the only causal factor. It was also possible to notice that older management systems are not prepared for the current decision-making standards due to the difficulties encountered in obtaining quality information. Incertezas no mundo do agronegócio fazem com que todos os atores envolvidos na cadeia desejem ter um nível de proteção contra eventuais fatores externos. Produtores, empresas de commodity tradings e consumidores utilizam o mercado de futuros como Politica de Gestão de Riscos, no qual asseguram o valor de retorno no momento da entrega do produto. O presente estudo tem como objetivo ajudar empresas a entender a importância de ter a informação próxima do tempo real para uma gestão de risco mais efetiva ao responder as seguintes perguntas: Qual é o impacto da baixa latência (ou seja, próximo do tempo real) na Gestão de Risco ao obter dados de originação de Soja para realizar Hedge da commodity no Brasil sob a perspectiva de uma empresa de Commodity Tradings? Quais seus desafios na obtenção dos dados? Para isso, foi feita uma análise de dados do volume de soja de contratos de compra, versus os contratos de venda futuro de uma empresa do setor, antes e depois da implantação de um projeto que visava consolidar tais informações em tempo real, com o intuito de compará-los utilizando cálculos de correlação de Pearson, Spearman e Kendall, e os resultados obtidos deixam claro que houve uma melhora significativa de um ano para outro, mas mesmo com a melhora na correlação, não quer dizer que seja o único fator causal. Também foi possível perceber que sistemas de gestão mais antigos não foram preparados para os padrões atuais de tomada de decisão devido as dificuldades encontradas para obter informações de qualidade. Uncertainties in the agribusiness world make all the actors involved in the chain want to have a level of protection against possible external factors. Producers, commodity trading companies and consumers use the futures market as a Risk Management Policy, which ensures the return value when the product is delivered. The present study aims to help companies understand the importance of having information close to real time for more effective risk management by answering the following questions: What is the impact of low latency (that is, close to real time) on Risk Management when obtaining data on origination of Soybeans to hedge the commodity in Brazil from the perspective of a Commodity Tradings company? What are your challenges in obtaining the data? For this, an analysis was made of data on the soybeans volume of purchase contracts, versus the future sales contracts of a company in the sector, before and after the implementation of a project that aimed to consolidate such information in real time, in order to comparing them using Pearson’s, Spearman's and Kendall’s correlation calculations and the results obtained makes it clear that there has been a significant improvement from one year to the next, but even with the improvement in the correlation, it does not mean that it is the only causal factor. It was also possible to notice that older management systems are not prepared for the current decision-making standards due to the difficulties encountered in obtaining quality information.