Now showing items 1-2 of 2

    • The role of no-arbitrage on forecasting: lessons from a parametric term structure model 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José (Escola de Pós-Graduação em Economia da FGV, 2007-10-01)
      Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
    • Social welfare analysis in a simple financial economy with risk regulation 

      Araújo, Aloísio Pessoa de; Vicente, José (Escola de Pós-Graduação em Economia da FGV, 2007-09-01)
      In the last years, regulating agencies of rnany countries in the world, following recommendations of the Basel Committee, have compelled financiaI institutions to maintain minimum capital requirements to cover market risk. ...