Browsing FGV EESP - Escola de Economia de São Paulo by Subject "Teoria dos valores extremos"

Now showing items 1-3 of 3

    • An analysis of risk-neutral density’s moments for USD/BRL options with applications to trading 

      Mendonça, Gustavo Passebon
      2019-07-26
      The present work proposes an application of a non-parametric methodology to extract the risk-neutral probability density function (RND) to USD/BRL options. This methodology consists in complementing the RND extracted from ...

    • Tail risk in the hedge fund industry 

      Santos, Eduardo Alonso Marza dos
      2015-05-28
      The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors ...

    • Técnicas de estresse teste de mercado usando maximum drawdown 

      Geronazzo, Arthur
      2019-08-21
      O principal objetivo dos investidores é obter o maior retorno e lucro possíveis, correndo o menor risco. Por outro lado, os gestores de risco têm como responsabilidade o monitoramento dos riscos a fim de impedir que se ...