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Forecasting bond yields with segmented term structure models
(Banco Central do Brasil, 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 ...
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
(Mdpi Ag, 2017-12)
The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under ...
Executive branch federal civil servant mortality by sex and educational level - 1993/2014
(Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária, 2017-12-01)
Life tables have been elaborated throughout much of human history. However, the first life table to use actuarial concepts was only constructed in 1815 by Milne for the city of Carlisle in England. Since then, numerous ...
Performance of fixed income funds in brazil: market timing and style analysis
(Editora Univ Estado Bahia, 2017-12)
This study investigates whether managers of Fixed Income Brazilian funds exhibit market-timing abilities and what are the main components driving a fund's return. Measuring timing ability of Fixed Income funds' managers ...
Eficiência dos gastos municipais com a educação fundamental: uma análise dos municípios paulistas no ano de 2013
(Universidade Federal do Paraná, 2017-08)
O propósito deste trabalho é analisar a eficiência dos municípios paulistas em relação aos gastos públicos realizados na subfunção educação fundamental no ano de 2013 com a técnica da Análise Envoltória de Dados (DEA). ...
The long-run performance of brazilian stocks traded below book value
(Editora Univ Estado Bahia, 2017-04)
The price-to-book ratio (stock prices divided by book value per share) is a commonly used a valuation metric to screen for under-or overvalued stocks. Empirical evidence suggests that low price-to-book stocks (i.e., value ...
The causal impacts of child labor law in Brazil: some preliminary findings
(Oxford Univ Press, 2017-03-01)
This paper investigates the causal impact of the change in law of December 1998 that increased the minimum legal age of entry into the labor force from 14 to 16. We used a difference-in-differences (DD) approach to estimate ...
Information in CDS spreads
(Elsevier Science Bv, 2017-02)
We investigate how public and private information affects corporate CDS spreads prior to rating announcements. First, CDS spreads of firms with high news intensity change significantly earlier and more strongly prior to ...
Interest rates in trade credit markets
(Wiley, 2017-02)
All things equal, interest rates should increase with the borrower's risk. And yet, Klapper, Laeven, and Rajan (2012) cannot find such a positive relation in a broad sample of trade credit contracts. We shed some light on ...
Determinants of success in venture capital investments: evidence from Brazil
(Routledge Journals, Taylor & Francis Ltd, 2017)
We investigate the determinants of the success of private equity/venture capital funds. We focus specially on a Brazilian idiosyncrasy: the participation of limited partners in the investment process through investment ...
