Listagem Congressos / RP por Assunto "Administração de risco"
Itens para a visualização no momento 1-3 of 3
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Implied volatility smirk in Lévy markets
2016We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew ... -
Informational synergies in consumer credit
2015-12-17Lenders can tap into multiple sources of private information to assess consumer credit risk but little is known about the informational synergies between these sources. Using unique panel data on checking accounts and ...




