Browsing by Subject "Risco (Economia)"
Now showing items 41-60 of 310
-
Avaliação do value at risk do índice Bovespa usando os modelos garch, tarch e riskmetrics tm para se estimar a volatilidade
1998-02-13Apresenta o método value at risk (VaR) para se mensurar o risco de mercado, sob diferentes abordagens. Analisa a série histórica do índice Bovespa no período de 1995 a 1996 por meio de testes econométricos de normalidade, ... -
Avaliação para adequação de capital em risco de crédito sob um modelo de teste de estresse: uma abordagem objetiva
2012-08-30The present work aims to propose a methodology for Stress Testing and hence calculation of additional capital buffer in credit risk, as required by the Committee on Banking Supervision. The methodology consists in using ... -
Avaliando questionários de risco e o comportamento do investidor sobre a ótica de behavioral finance
2005-08Financial risk tolerance is assumed to be a fundamental issue underlying a number of financial decisions. For this reason, researchers have long been interested in understanding the relationship between personal financial ... -
Aversão ao risco e outras milongas
2003-10-03 -
Aversão à perda, assimetria nos co-movimentos de mercado e viés doméstico: caso Japão e Reino Unido
2011Analogamente à Amonlirdviman e Carvalho (2009), que calibrou o modelo de Aversão à Perda Míope de Benartzi and Thaler (1995) para o caso dos Estados Unidos, esta dissertação analisa o problema de alocação de portfolio de ... -
Bailout policies, bank competition and bank risk-taking in crisis periods
2016This paper analyzes the impact of government bailout policies on the risk of the banking sector in OECD countries between 2005 and 2013. We use the 2007-2008 financial crisis as an exogenous source of change in bailout ... -
Bank capital structure, macroprudential policy and economic growth
2018-05-29We study the long-run impact of the adoption of macroprudential tools. We derive a dynamic general equilibrium model featuring endogenous TFP change and allowing banks to choose their balance sheet structure endogenously. ... -
Banks and sovereign risk: evidence from earnings announcements
2020-05-15A growing literature highlights the relation between bank crises and sovereign defaults. However, causal estimates of the effect of banks on sovereign risk, under plausible identifying assumptions, are badly missing from ... -
Can a habit formation model really explain the Forward Premium Anomaly?
2009-08-07Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999) s habit formation model one must specify it in such a way to generate pro-cyclical short ... -
Can jurisdictional uncertainty and capital controls explain the high level of real interest rates in Brazil? Evidence from panel data
2007This paper tests the assertion, popularized by Arida et al. (2005), that risks associated with the jurisdiction and currency inconvertibility are relevant determinants of the high level of short-term real interest rates ... -
The capital asset pricing theory and its misconceptions
2016The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ... -
Carteiras de renda fixa: imunização, risco de imunização e risco idiossincrático
2011-05-10O termo imunização significa construir uma carteira de títulos de forma a torná-la imune a variações nas taxas de juros. O presente trabalho tem o intuito de avaliar a eficácia das diferentes estratégias de imunização de ... -
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets
2013-01-31This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 ... -
Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)
2015-02-10O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em ... -
O cenário de crédito e risco de inadimplência em fintechs no Brasil
2020-11-02O mercado de empréstimo a pessoas físicas nacional movimenta, em média, R$519 bilhões por mês. Parte dessa movimentação, em torno de R$800 bilhões em 2019, ocorre por meio via fintechs de crédito, tornando necessária a ... -
Chance and fortune
2005-07 -
The choice channel of financial innovation
2018-11-15Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice a¤ects investors.savings and asset returns. We establish a choice channel by which greater portfolio choice increases ... -
Comparativo de metodologias de mensuração de VAR para o mercado financeiro brasileiro
2007Many methodologies to measure market risk have been developed and improved in the last few decades. While some methodologies are non-parametric, others are parametric. Some methodologies are theoretical, while others are ... -
Composição de carteiras por mínima variância: comparação com benchmarks de mercado
2016-08Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on ...
