Listagem FGV EPGE - Seminários de Pesquisa Econômica por Assunto "Risco (Economia)"
Itens para a visualização no momento 1-8 of 8
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The effects of credit risk transfer on bank monitoring and firm financing
2004-10-07This paper examines the efects of the transfer of credit risk associated with bank loans. We are interested in (a) whether the transfer of credit risk has any impact on the intensity with which banks monitor their borrowers ... -
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
2004-06-03The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ... -
Monetary policy, default risk and the exchange rate
2007In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of ... -
Non-monotone insurence contracts and their empirical consequences
2002-04-16The goal of t.his paper is to show the possibility of a non-monot.one relation between coverage and risk which has been considered in the literature of insurance models since the work of Rothschild and Stiglitz (1976). We ... -
O prêmio de risco da taxa de câmbio no Brasil durante o plano real
2000-04-06A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Aplicamos aqui os principais modelos teóricos e técnicas ... -
Reality check for volatility models
2001-09-27Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type ... -
A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data
2004-05-27In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects ... -
Robust statistical modeling of portfolios
2002-03-14Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, ...
