Now showing items 1-10 of 10

    • Are interest rate options important for the assessment of interest rate risk? 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      2009-08
      Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution ...
    • Does curvature enhance forecasting? 

      Almeida, Caio Ibsen Rodrigues de; Gomes, Romeu; Leite, André; Vicente, José
      2008
      In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...
    • Forecasting bond yields with segmented term structure models 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Glasman, Daniela Kubudi; Simonsen, Axel André; Vicente, José
      2018-02
      Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ...
    • Movimentos da estrutura a termo e critérios de minimização do erro de previsão em um modelo paramétrico exponencial 

      Almeida, Caio Ibsen Rodrigues de; Gomes, Romeu; Leite, André; Vicente, José
      2008-12-01
      Neste artigo, nós estudamos como diferentes escolhas dos loadings afetam a previsão do modelo exponencial de estrutura a termo proposto por Diebold e Li (2006). Os loadings são definidos através de um parâmetro específico ...
    • Nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2016
      This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...
    • Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2017
      The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...
    • Risk regulation in Brazil: a general equilibrium model 

      Araújo, Aloísio Pessoa de; Vicente, José
      2006-05-01
      In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover ...
    • The role of no-arbitrage on forecasting: lessons from a parametric term structure model 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      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
      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. ...
    • Term structure movements implicit in Asian option prices 

      Almeida, Caio Ibsen Rodrigues de; Vicente, José
      2008
      In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...