Geração de Cenários de Estresse para Curva de Juros

This article describes the use of the Heath-Jarrow-Morton framework togenerate stress scenarios for the term structure of the interest rate. Bymeans of principal component analysis it is possible to reduce thedimensions of the problem and create a bridge between the information aspecialist possesses for defining scenarios, such information generallybeing of low dimensions, and the robustness of the HJM model. Themethodology is applied to Brazilian Market data during the market meltdownin 2008 and from other occasions.