Listagem por Assunto "Monte Carlo, Método de"
Itens para a visualização no momento 1-20 of 36
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Analisando o risco de uma carteira de crédito via simulações de Monte Carlo
2003-02-21Neste trabalho, analisamos utilização da metodologia CreditRLsk+ do Credit Suisse sua adequação ao mercado brasileiro, com objetivo de calcular risco de uma carteira de crédito. Certas hipóteses assumidas na formulação do ... -
Uma análise comparativa entre a metodologia analítica e a metodologia de simulação Monte Carlo para o cálculo do value at risk
2000-04-27O presente trabalho tem por objetivo descrever, avaliar comparar as metodologias analítica da simulação Monte Cario para cálculo do Value at Risk (Valor em Risco) de instituições financeiras de empresas. Para comparar as ... -
Análise do comportamento das expectativas de inflação no Brasil sob uma regra de aprendizado
2016-02-16Studies on inflation expectations in Brazil reject the hypothesis of rationality. This rejection is based on statistical tests that identify the existence of a systematic bias in inflation expectation. We update some of ... -
Avaliação da viabilidade de implementação de política de hedge de preços em empresas de mineração utilizando simulação de Monte Carlo
2018-04-04The volatility of the market price of their products is one of the biggest sources of variability for the mining sector. Therefore, reducing or elimination this factor, significantly changes their risk profile. This ... -
Avaliação de concessões aeroportuárias através da teoria das opções reais: o caso do Aeroporto de Guarulhos
2015-05-21This work aims to study the airport sector and the Brazilian concession market and create a model for pricing the project from Guarulhos airport. Real data obtained from the concessionaire results and data made public, as ... -
Combining strategies for the estimation of treatment effects
2012-03-24The estimation of the average effect of a program or treatment on a variable of interest is an important tool for the assessment of economic policies. In general, assignment of potential participants to treatment does not ... -
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
2016We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ... -
Dipolar-driven formation of cobalt nanoparticle chains in polyethylene films
2015-07-15Using a simple method we produce polyethylene film with embedded chains of cobalt nanoparticles. The crystalline magnetic nanoparticles were synthesized through a simple chemical reduction method at room temperature using ... -
The effect of default risk on trading book capital requirements for public equities: an irc application for the Brazilian market
2015-08-17Esse é um dos primeiros trabalhos a endereçar o problema de avaliar o efeito do default para fins de alocação de capital no trading book em ações listadas. E, mais especificamente, para o mercado brasileiro. Esse problema ... -
Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: A Monte-Carlo study
2004For a fractionally integrated ARFIMA(p, d, q) model, temporal aggregation changes the order of the process to an ARFIMA(p, d,∞), while leaving the value of d unchanged. This paper analyses the effects of temporal aggregation ... -
Elaboração de um modelo de valoração quantitativa das garantias para o setor de saneamento com utilização de Simulação de Monte Carlo: o caso PPP de Esgoto para a Região Metropolitana do Recife e Município de Goiânia
2014-02-27The sanitation situation in Brazil is alarming. Water supply and sewage services are provided appropriately for only 59.4% and 39.7%, respectively, of the Brazilian population. It is estimated that R$ 304 billion in ... -
Essays in Macroeconometrics
2020-10-23Esta tese consiste em três artigos independentes em macroeconometria. No primeiro artigo, nós propomos um modelo de rational-inattention, a fim de se analisar e estimar o comportamento de forecasters profissionais do Focus ... -
Estimação de regressões aditivas via backfitting e integração marginal: performance em pequenas amostras
2001-05-31In this thesis we conduct a Monte Carlo investigation to reveal some characteristics of the small sample distributions of the Backfitting (B) and Marginal Integration (MI) estimators for an additive bivariate regression. ... -
Estimation of DSGE Models: A Monte Carlo Analysis
2013-06-18We investigate the small sample properties and robustness of the parameter estimates of DSGE models. Our test ground is the Smets and Wouters (2007)'s model and the estimation procedures we evaluate are the Simulated Method ... -
Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study
2005-04-01Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ... -
Functional Itô calculus, path-dependence and the computation of Greeks
2017-12Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ... -
Gestão estratégica de riscos de um ativo de produção de petróleo: uma abordagem quantitativa
2011-07-01This dissertation proposes a quantitative risk management framework for an oil producing asset, focusing on the CFaR and on the likelihood of a less-than-expected return on capital. A simple cashflow model was used, and ... -
Identification and estimation of distributional impacts of interventions using changes in inequality measures
2016-05This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are calculated as differences in inequality measures ... -
The importance of common cyclical features in VAR analysis: a Monte-Carlo study
2001-04-01Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations ... -
The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)
1999-09-01Despite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data 'features.' W e use exhaustive M ...
